Pregeometric Origins of Liquidity Geometry in Financial Order Books

TL;DR

This paper introduces a geometric framework for understanding liquidity in financial order books, showing that observable liquidity profiles follow gamma-like forms due to underlying structural constraints rather than microstructural details.

Contribution

It presents a novel pregeometric, spectral graph approach to model order book liquidity as emergent observables constrained by geometric principles.

Findings

Liquidity profiles follow gamma-like functional forms.

High-frequency data supports the integrated-gamma model.

Simulation reproduces observed structure without agent-based assumptions.

Abstract

We propose a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive economic variables. The market is modeled as an inflationary relational system without assumed metric, temporal, or price coordinates. Observable quantities arise only through projection, implemented here via spectral embeddings of the graph Laplacian. A one-dimensional projection induces a price-like coordinate, while the projected density defines liquidity profiles around the mid price. Under a minimal single-scale hypothesis -- excluding intrinsic length scales beyond distance to the mid and finite visibility -- we show that projected supply and demand are constrained to gamma-like functional forms. In discrete data, this prediction translates into integrated-gamma cumulative profiles. We test these results using high-frequency Level~II data for several U.S. equities and find robust agreement across assets and intraday windows. Explicit comparison with alternative cumulative models using information criteria demonstrates a systematic preference for the integrated-gamma geometry. A minimal simulation of inflationary relational dynamics reproduces the same structure without invoking agent behavior or price formation mechanisms. These results indicate that key regularities of order-book liquidity reflect geometric constraints induced by observation rather than detailed microstructural dynamics. Supplementary Material is available at the arXiv submission.