Metaorder modelling and identification from public data

Ezra Goliath; Tim Gebbie

Home/Archive/arXiv

arXiv · 2608.30999

Metaorder modelling and identification from public data

Ezra Goliath·Tim Gebbie

View original source ↗Read source document ↗Export metadata ↓

Abstract

Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory. However, quantitative tests of this theory have historically relied on proprietary datasets with trader identifiers, limiting reproducibility and cross-market validation. We investigate whether it can be recovered from anonymous public data using synthetic metaorder reconstruction. Using transaction and quote data for the largest 239 stocks by market capitalisation on the JSE as of 13 March 2026 with the data range being 1 January 2023 until 31 December 2025, we conduct a grid search over reconstruction parameters and evaluate each configuration against established metaorder stylised facts and the LMF relation. Configurations selected to minimise errors across the metaorder impact stylised facts reproduce the targeted aggregate properties but yield a poor LMF relation. Configurations selected to minimise the LMF discrepancy recover the relation by construction while retaining several broad impact features, although some stock-level execution and decay fits are weaker. These asymmetric results show that recovering aggregate impact stylised facts alone is insufficient to identify LMF-consistent order splitting, while the LMF-targeted result establishes compatibility within the reconstruction class rather than an independent test. The findings support consistency with, rather than direct validation of, the LMF theory using anonymous market data.

Explore related subjects

q-fin.TR

Keep this discovery

BibTeX RIS

Ezra Goliath, Tim Gebbie. 2026-08-31. Metaorder modelling and identification from public data. https://arxiv.org/abs/2608.30999

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Deep Learning of Robust Market Making under Regime-Switching Order Flow

Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Gu\'{e}ant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on assumptions that break down at realistic microstructure timescales. One of them is that order flow is stationary, while empirical evidence points to the existence of regimes, possibly associated with algorithmic execution of metaorders. In this case, existing methods provide negative PnL. In this paper, we develop a deep reinforcement-learning market maker (RLMM) - a Rainbow-style distributional DQN (C51) which is calibrated and tested in a zero-intelligence limit order book. We find that, in the stationary setting, RLMM outperforms GLFT across the entire observed risk-return frontier. The RLMM is more robust to flow asymmetry than GLFT, but, like any stationarily trained strategy, it still suffers large drawdowns from inventory saturation under persistent directional imbalance. Augmenting the state of RLMM with two auxiliary signals - a Bayesian online change-point filter over the directional flow bias and a queue-adjusted quote-exposure imbalance -restores profitability. A final scenario-bandit step that reweights low-return regime scenarios further improves performance under random-persistence and correlated-direction stress.

q-fin.TR↗

arXiv2026

dexamine: A Python package for Uniswap event data on Ethereum

Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata. dexamine is a Python package that parses Uniswap v2 and v3 events on Ethereum. It converts transaction receipt logs into observations of trades and liquidity changes, with token quantities, pool state, transaction order, and gas information. The package separates data retrieval, contract metadata, protocol interpretation, and output construction. The repository provides recorded Ethereum responses and an offline reproducible example, and version 1 has been used to construct data for an empirical study of price discovery in decentralized markets.

q-fin.TR↗

arXiv2026

The Double-Edged Sword of Short-Selling Bans

We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines. Empirically, we test the model's predictions using the cross-sectional variation in short-selling restrictions implemented across European countries in 2020. Consistent with our model, we find that bans had a detrimental effect on liquidity and failed to support the average price levels, but were effective in limiting large price drawdowns. Finally, we show that the effectiveness of the bans depends on the share of informed stockholders, a central variable in our framework, thus informing the design of more effective regulatory responses.

q-fin.TR↗