Finding universal scaling laws between trading variables is highly valuable to make progress in our understanding of financial markets and market microstructure. In the wake of these discoveries, Albert Kyle and Anna Obizhaeva posit a trading invariance principle that must be valid for a bet, theoretically defined as a sequence of orders with a fixed direction (buy or sell) belonging to a single trading idea. Frederic Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud, and Michael Benzaquen revisit the trading invariance hypothesis by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno.
Are trading invariants really invariant? Trading costs matter
researchhub - March 26, 2019 - 0 comments