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Research
Memory
Most raw market effects fade in seconds. This series is the layer built on top of the measurements that survived testing: how they decay, how they persist, and how a small neural network can learn that decay instead of me choosing it, so a strategy can act over minutes rather than milliseconds.
Reading order
Method01
Memory in microstructure: how discrete events become a signal
Raw ticks are noise. Memory is the bridge to a backtestable alpha.
Sample draft02
Does signal memory change when the market gets busy?
A proposed check of the same memory rule across different levels of trading activity.
Sample draft03
How long should a signal remember?
A proposed comparison of short and long memory windows using the same input signal.
The course, and other research