Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis
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摘要
This paper develops a discrete‑time Markov chain framework to analyze intraday limit‑order price‑change transitions for ask and bid submissions across High/Medium/Low market‑capitalization NASDAQ100 stocks, finding U‑shaped intraday inertia (peak at open and close), a clear capitalization gradient (HMC most inert, LMC most dynamic), bid–ask asymmetries (ask pre-close shifts earlier), and quantifiable global metrics (spectral gap, entropy rate, mean recurrence times) that support capitalization‑aware, time‑adaptive execution strategies [page::0][page::25].
