Research

Research / Evidence / Method

Market structure,
under examination.

Formal work from VisualHFT: bounded claims, explicit methods, versioned evidence, and stated limitations.

Publications
1
Whitepapers
0

Library

Published work

Newest first · focus a paper for abstract
Research note · R-001

Empirical Evaluation of LOB Imbalance, VPIN, and Market Resilience on NASDAQ TotalView-ITCH

Out-of-sample scorecards, circular block-bootstrap confidence intervals, 5/10/20-level book depth sensitivity, and Diebold-Mariano volatility tests across 33,435,762 NASDAQ TotalView-ITCH 5.0 messages on 14 symbols.

v2.0 /
→
Out-of-sample scorecards, circular block-bootstrap confidence intervals, 5/10/20-level book depth sensitivity, and Diebold-Mariano volatility tests across 33,435,762 NASDAQ TotalView-ITCH 5.0 messages on 14 symbols.

Whitepaper queue

No whitepapers are public yet.

This is intentional. Formal papers will appear here after quantitative and publication review; engineering articles remain on the Blog in the meantime.

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Docs → Procedures for installing, operating, extending, and diagnosing VisualHFT Terminal. Blog → Stories, announcements, ideas, and time-based market education. Research → Formal methods, evidence, limitations, and versioned quantitative claims.