论文标题
弥合差距：解码市场数据中时间的内在性质
Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data
论文作者
论文摘要
内在时间是用于分析财务时间序列的基于事件的时间概念的一个示例。在这里，我们第一次揭示了内在时间和物理时间之间的联系。详细说明，我们提出了一种分析关系，该分析关系将两个不同的时间范式联系起来。这一发现的核心是扩展法的出现。实际上，提出了一种新颖的经验缩放定律，与内在时间框架中所知道的过时的变异性有关。为了评估理论得出的表达式的有效性，分析了三个时间序列；详细说明，布朗运动和两个逐滴经验货币市场数据集（一个加密货币和一个菲亚特）。最后，在物理时间分析的时间序列可以分解为它们的流动性和波动率成分，两者仅在内在时间可见，进一步突出了这种时间亲属关系的实用性。
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic relationship which links the two different time paradigms. Central to this discovery are the emergence of scaling laws. Indeed, a novel empirical scaling law is presented, relating to the variability of what is know as overshoots in the intrinsic time framework. To evaluate the validity of the theoretically derived expressions, three time series are analyzed; in detail, Brownian motion and two tick-by-tick empirical currency market data sets (one crypto and one fiat). Finally, the time series analyzed in physical time can be decomposed into their liquidity and volatility components, both only visible in intrinsic time, further highlighting the utility of this temporal kinship.
