When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books

Fuente: arXiv

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Bibliographic Details
Main Authors:	Xu, Haohan, Bohne, Jason, Polak, Pawel, Baransky, Yurij, Alva, Ajay, Fedotova, Violetta, Kazantsev, Gary, Rosenberg, David
Format:	Preprint
Published:	2026
Subjects:	Machine Learning
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2604.21993