Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis

By Salam Rabindrajit Luwang, Kundan Mukhia, Buddha Nath Sharma, Md. Nurujjaman, Anish Rai, Filippo Petroni

Published 2026-01-08

Everscope rating

1903.4

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Discrete-Time Markov Chain (DTMC) Framework for Limit Order Price Change Transitions. Problem types: Clustering, Dimensionality Reduction, Market Making, Algorithmic Execution, Risk Management, Density Estimation, Sequence-to-Sequence Learning.

arXiv:2601.04959 · Paper rankings

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