A Unified Theory of Market Dynamics: Order Flow, Market Impact, and Volatility

Exploring the microstructural foundations of order flow, market impact, and volatility through a unified mathematical framework. Based on breakthrough research by Muhle-Karbe et al., this deep dive reveals how a single structural statistic binds together long memory, square-root scaling, and rough volatility. 📊 Deep Research Topics: quantitative finance, investment analysis, financial education, financial research, market analysis