High-frequency stock market order transitions during the US-China trade war 2018: A discrete-time Markov chain analysis

Abstract Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks belonging to six different sectors during the US–China trade war of 2018. The Markov property of the order sequence is validated by […] Source