Directional Liquidity and Geometric Shear in Pregeometric Order Books
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2026
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866912852128825344 |
|---|---|
| author | da Cruz, João P. |
| author_facet | da Cruz, João P. |
| contents | We introduce a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive market variables. The market is modeled as a relational substrate without assumed metric, temporal, or price coordinates. Observable quantities arise only through observation, implemented here as a reduction of relational degrees of freedom followed by a low-dimensional spectral projection. A one-dimensional projection induces a price-like coordinate and a projected liquidity density around the mid price, from which bid and ask sides emerge as two complementary restrictions. We show that directional liquidity imbalances decompose naturally into a rigid drift of the projected density and a geometric shear mode that deforms the bid--ask structure without inducing price motion. Under a minimal single-scale hypothesis, the shear geometry constrains the projected liquidity to a gamma-like functional form, appearing as an integrated-gamma profile in discrete data. Empirical analysis of high-frequency Level~II data across multiple U.S. equities confirms this geometry and shows that it outperforms standard alternative cumulative models under explicit model comparison and residual diagnostics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_19369 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Directional Liquidity and Geometric Shear in Pregeometric Order Books da Cruz, João P. Trading and Market Microstructure Physics and Society We introduce a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive market variables. The market is modeled as a relational substrate without assumed metric, temporal, or price coordinates. Observable quantities arise only through observation, implemented here as a reduction of relational degrees of freedom followed by a low-dimensional spectral projection. A one-dimensional projection induces a price-like coordinate and a projected liquidity density around the mid price, from which bid and ask sides emerge as two complementary restrictions. We show that directional liquidity imbalances decompose naturally into a rigid drift of the projected density and a geometric shear mode that deforms the bid--ask structure without inducing price motion. Under a minimal single-scale hypothesis, the shear geometry constrains the projected liquidity to a gamma-like functional form, appearing as an integrated-gamma profile in discrete data. Empirical analysis of high-frequency Level~II data across multiple U.S. equities confirms this geometry and shows that it outperforms standard alternative cumulative models under explicit model comparison and residual diagnostics. |
| title | Directional Liquidity and Geometric Shear in Pregeometric Order Books |
| topic | Trading and Market Microstructure Physics and Society |
| url | https://arxiv.org/abs/2601.19369 |