Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach (arXiv preprint, 2025)

Abstract An empirical stochastic analysis of high-frequency, tick-by-tick order data of NASDAQ100 listed stocks is conducted using a first-order discrete-time Markov chain model to explore intraday order transition dynamics. This analysis focuses on three market cap categories: High, Medium, and Low. Time-homogeneous transition probability matrices are estimated and compared across time-zones and market cap categories, […] Source