LEVENT: Lifetime Estimation via Efficiency-regime Event Transitions

Introducing a Regime-Dependent Structural Lifetime Estimator for Financial Markets Using OHLC Data Author: Bülent Duman Affiliation: Independent Researcher Canonical Definition: LEVENT (Lifetime Estimation via Efficiency-regime Event Transitions; Duman, Bülent, 2026) is a deterministic structural lifetime estimator that quantifies the remaining endurance of a market regime using OHLC data. Unlike traditional indicators that measure price displacement or magnitude, LEVENT transforms microstructural efficiency and stability states into a forward-looking measure of Structural Remaining Lifetime (RUL). This paper introduces LEVENT (Lifetime Estimation via Efficiency-regime Event Transitions), a novel regime-dependent structural lifetime estimator for financial markets. Traditional technical analysis predominantly treats time as a homogeneous dimension, focusing on price displacement (momentum) or magnitude (volatility). LEVENT challenges this paradigm by quantifying a previously overlooked dimension: Structural Remaining Lifetime (RUL). Defined as a deterministic estimator, LEVENT operationalizes a "jump-and-countdown" dynamic. It resets at confirmed regime transitions and decays based on the internal stability and efficiency of the price formation process, governed by a sigmoid-gated function. This provides a forward-looking, bar-count measure of structural viability conditional on current market efficiency states. The proposed model builds upon the DERYA (Dynamic Efficiency Regime Yield Analyzer) framework, extending microstructural efficiency states into a temporal endurance variable. Empirical validation across diverse asset classes—including Equities (AAPL), Cryptocurrencies (BTC), Foreign Exchange (EURUSD), and Commodities (GOLD)—demonstrates that LEVENT provides statistically significant incremental information gain. Key findings include: Incremental Explanatory Power: In high-efficiency markets like EURUSD and AAPL, the inclusion of LEVENT in volatility forecasting models yielded relative R2R2 gains of +50.42% and +32.49% respectively. Orthogonality: Statistical tests confirm that LEVENT is not a linear or non-linear derivative of traditional indicators (RSI, ATR, ADX), but a distinct structural observable. Robustness: Bootstrap analysis and out-of-sample testing confirm the stability of the lifetime signal even in high-noise environments like Bitcoin and Gold. LEVENT completes the market state space by providing a coordinate for structural endurance, establishing a two-dimensional microstructural framework: (Efficiency, Remaining Lifetime). This research offers a new lens for market microstructure analysis, risk management, and the study of regime-switching dynamics in high-frequency data. Keywords: structural lifetime, regime transitions, market microstructure, OHLC data, time-to-failure, efficiency regimes, survival analysis, technical indicators, regime-switching models. Citation: Duman, Bülent (2026). LEVENT: Lifetime Estimation via Efficiency-regime Event Transitions – A New Regime-Dependent Structural Lifetime Variable for Financial Markets. Preprint.