When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books
We study the detection of transient liquidity erosion ("crumbling quotes") in electronic limit order books, where observable quote deterioration may reflect either mechanical liquidity withdrawal or informational repricing. Using the ABIDES agent-based simulator, we construct a multi-agent environment in which crumbling emerges from stochastic regime switches in a market maker, providing time-resolved ground truth unavailable in real market data. We develop a detection pipeline that identifies mechanically driven quote erosion using order book features, and train a neural model to produce calibrated crumbling probabilities. Experiments demonstrate that the proposed framework reliably iden...
| Authors | Haohan Xu, Jason Bohne, Pawel Polak et al. |
|---|---|
| Primary category | cs.LG |
| Published | 23 April 2026 |
| Last updated at source | 23 April 2026 |
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