arXiv subjects

Thomas Houweling

Publications and source records attributed to Thomas Houweling.

3 recordsLinked to original sources

arXiv2025

The Hidden Constant of Market Rhythms: How $1-1/e$ Defines Scaling in Intrinsic Time

Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless exponential hazard process. Empirically, the proportion of directional changes to total events stabilizes near $1 - 1/e = 0.632$, matching the probability that a Poisson process completes one mean interval. This constant provides a natural heuristic to identify scaling regimes across thresholds and supports an interpretation of market activity as a renewal process in intrinsic time.

q-fin.ST↗

arXiv2025

A Modern Paradigm for Algorithmic Trading

We introduce a novel framework for developing fully-automated trading model algorithms. Unlike the traditional approach, which is grounded in analytical complexity favored by most quantitative analysts, we propose a paradigm shift that embraces real-world complexity. This approach leverages key concepts relating to self-organization, emergence, complex systems theory, scaling laws, and utilizes an event-based reframing of time. In closing, we describe an example algorithm that incorporates the outlined elements, called the Delta Engine.

q-fin.TR↗

arXiv2024

Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide

We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to evaluate the performance of trading model algorithms.

q-fin.TR↗