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Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables

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Listed:
  • Christopher Angstmann
  • Tim Gebbie

Abstract

We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical laws, but to separate the clocks on which existing laws are defined. The sign-memory law is an event-time statement about the ordering and fragmentation of hidden orders. The square-root impact law is an operational-time statement about front motion in a locally linear latent order book. Starting from a discrete-time random-walk bid/ask reaction--diffusion order book with a separate event clock, we identify an event-time imbalance reduction, derive the operational-time front and impact equations in the locally linear regime, and then subordinate both sign and impact observables to calendar time. Fractional or tempered clock effects enter through this event-to-calendar projection, not through a different operational-time impact mechanism. This gives a compact clock-aware framework in which event-time sign persistence, operational-time square-root impact, and anomalous calendar-time effects appear as distinct but compatible consequences of a common order-book representation.

Suggested Citation

  • Christopher Angstmann & Tim Gebbie, 2026. "Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables," Papers 2609.13715, arXiv.org.
  • Handle: RePEc:arx:papers:2609.13715
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    References listed on IDEAS

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