Hugging Face Static Space · Research Prototype

Intraday Market Complexity and Option–Stock Price Discovery

A leakage-free, synthetic demonstration of how opening complexity and option liquidity may change where information appears first.

Important: This page is a conceptual prototype. All displayed outputs are simulated and are not empirical findings.

Research design

1

Measure the opening state

Use the first 30 minutes to define a predetermined complexity score from predictive surprise, entropy, and cross-scale disagreement.

2

Test both directions

Compare synthetic options → stock and stock → options predictive contributions over future 5-, 15-, and 30-minute horizons.

3

Condition on liquidity

Ask whether complexity strengthens option leadership when option markets are liquid but weakens or delays transmission when they are illiquid.

Interactive mechanism simulator

Adjust the pre-outcome state. The simulator keeps the causal direction intentionally simple so the hypothesized interaction can be inspected.

Opening complexity C

0.60average of the three standardized-style components in this demo

Option → stock contribution

0.000synthetic ΔR²-like score

Stock → option contribution

0.000synthetic reverse-direction score

Leadership L

0.000positive = option leadership; negative = stock leadership

Hypothesized transmission profile

Bars show the synthetic directional contributions implied by the current settings.

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Three pre-specified demonstration cases

From prototype to empirical study

Predetermined state

The empirical design fixes complexity using only 09:31–10:00 information, preventing look-ahead into the outcome window.

Primary interaction

Complexity × option innovation × lagged option liquidity, estimated with chronological out-of-sample splits.

Competing explanations

Volatility relabeling, stale quotes, inventory/hedging, common news, stock-borrow costs, and timing placebos must be audited.

Interpretation

The mechanism is processing-load-consistent, not a claim that individual cognition directly causes market outcomes.