Table 1 Categorization of the cause-effect relationship for the four VSTPC parameters
From: A theory of very short-time price change: security price drivers in times of high-frequency trading
Direct | Indirect | Behavioural | Indirect behavioural |
|---|---|---|---|
(1) \(\frac{\partial L}{\partial Q}<0\) | (5) \(\frac{\partial L}{\partial S}=\frac{\partial L}{\partial Q}\frac{\partial Q}{\partial S}<0\) | (10) \(\frac{\partial L}{\partial V}<0\) | Â |
(2) \(\frac{\partial Q}{\partial S}>0\) | Â | (11) \(\frac{\partial Q}{\partial L}>0\) | (12) \(\frac{\partial Q}{\partial V}=\frac{\partial Q}{\partial L}\frac{\partial L}{\partial V}<0\) |
(3) \(\frac{\partial S}{\partial V}>0\) | (6) \(\frac{\partial S}{\partial L}=\frac{\partial S}{\partial V}\frac{\partial V}{\partial L}<0\) (7) \(\frac{\partial S}{\partial Q}=\frac{\partial S}{\partial V}\frac{\partial V}{\partial L}\frac{\partial L}{\partial Q}>0\) | Â | Â |
(4) \(\frac{\partial V}{\partial L}<0\) | (8) \(\frac{\partial V}{\partial Q}=\frac{\partial V}{\partial L}\frac{\partial L}{\partial Q}>0\) (9) \(\frac{\partial V}{\partial S}=\frac{\partial V}{\partial L}\frac{\partial L}{\partial Q}\frac{\partial Q}{\partial S}>0\) | Â | Â |