Execution flow I = dV/dt is shown experimentally to be the fundamental source of market dynamics via a Radon-Nikodym derivative framework that auto-detects thresholds and time scales, validated on real data, plus a Christoffel spectrum alternative to PCA.
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Trade Execution Flow as the Underlying Source of Market Dynamics
Execution flow I = dV/dt is shown experimentally to be the fundamental source of market dynamics via a Radon-Nikodym derivative framework that auto-detects thresholds and time scales, validated on real data, plus a Christoffel spectrum alternative to PCA.