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Ixander

74 karma · joined April 15, 2026

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Ixander··on Can you use autoregressive diffusion to generate market data?
"but an actual orderbook will always be discrete"

Yes, you are right. I agree with that. The additional thing is that the orderbook can be looked at like (similar, not exact) molecules of water. A single molecule of water is not wet. And a single molecule of water can't be modeled by fluid dynamics. You can think of the orders in the orderbook as molecules of water. When there is enough of those discrete orders and transactions then what "emerges" is something greater that the individual parts. At a certain volume or mass the molecules of water form drops of water and those form masses of water that can be modeled with fluid dynamics and treated continuously.

You do say this as well:

"A model can approximate it in a continuous way, sure, but an actual orderbook will always be discrete."

Which is the same as saying (I might be wrong though, and I am not "quoting" to indicate you said it):

"An actual orderbook is discrete AND can be modeled in a continuous way."

I think that means we agree and arrive at the same place even if I think it's due to emergence in the market system and you think it is just something that exists in that market system.

Ixander··on Can you use autoregressive diffusion to generate market data?
The article mentioned this at the beginning and end:

"But what kind of data is market data? ... is it continuous or discrete? Market data seems to have features of both. An order book evolves via a series of turns as market participants put on, or take away, resting orders; there is no doubt a discrete action space. And yet, many of the most important parameters of a given order, like its price, have such a high cardinality that they basically appear continuous. ...

One way to explore these complications is to treat your data as if it’s continuous and see how that breaks down. "

"Most of the project was spent grappling with a fundamental problem: market data is neither fully continuous nor fully discrete."

I think it is continuous because it is an emergent property of the market system. There is a video where the guy tried to see if market structure was "real" by modeling it. He had trouble in the beginning but when he added an order book the structures and patterns (Head and Shoulder, Bull Flags, Double Tops) appeared. It's called:

"I made a Market Simulation to see if Patterns are Real" by Krafer

https://www.youtube.com/watch?v=oWheof70O9g

Ixander··on Fixing a 20-year-old bug in Enlightenment E16
From her "Short CV"

"Hello! I’m Kamila Szewczyk (iczelia). I am 21 years old. I’m an expert programmer and aspiring mathematician, primarily interested in compiler construction, data compression, esoteric languages, statistics and numerical algorithms. ... Currently I am a full-time student based in Germany." [1]

And the start of the post:

"The editor in chief of this blog was born in 2004. She uses the 1997 window manager, Enlightenment E16, daily."

[1] https://iczelia.net/cv/

edit: added the [1] at the end of the first quote