A simulation-grounded neural detection framework identifies transient mechanical liquidity erosion in limit order books with 36% AUC gain over rule-based baselines.
Journal of Financial Markets , volume=
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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.