Trade Sign Classification: How Order Flow Gets Signed

Pull a single day of time and sales for any active stock and you'll get a tidy column of prints: a price, a size, a timestamp, sometimes a venue code.…

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Hawkes Process: Why Market Events Arrive in Clusters

Watch a fast tape for a few minutes and the rhythm gives itself away. Trades, quote changes, and cancellations don't arrive like a metronome. The book goes quiet, then a…

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Order Flow Persistence: Reading Runs of Signed Flow

Watch a fast tape long enough and you'll see it: a stream of prints that keep lifting the offer, one after another, twenty or thirty in a row, and not…

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Limit Order Book: How Market and Limit Orders Fill

Picture a 5,000-share market order hitting a thin small-cap at 10:47 in the morning. The last trade printed at 24.10, so you'd expect a fill somewhere near there. Instead the…

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