A simulation-grounded neural detection framework identifies transient mechanical liquidity erosion in limit order books with 36% AUC gain over rule-based baselines.
Abides: Towards high-fidelity market simulation for ai research
2 Pith papers cite this work. Polarity classification is still indexing.
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2026 2representative citing papers
Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.
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When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books
A simulation-grounded neural detection framework identifies transient mechanical liquidity erosion in limit order books with 36% AUC gain over rule-based baselines.
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Testing replication for an agent-based model of market fragmentation and latency arbitrage
Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.