M3: A State-Event Generative Foundation Model for Market Microstructure Dynamics
Market microstructure simulation aims to model how liquidity, prices, and order flow evolve in electronic financial markets. Since market data reveal only one realized trajectory, many important questions are inherently counterfactual and require realistic trajectory-level simulation. Existing financial generative models, however, often model order events and market states, such as the LOB, in isolation, overlooking the dynamic interaction between order flow and liquidity in market microstructure. We propose the \textbf{M3} (\underline{M}arket \underline{M}icrostructure \underline{M}odel), a state-event generative foundation model for market microstructure dynamics. \textbf{M3} learns to ...
| Authors | Yanzhi Zhang, Yu Ma, Yilin Cheng et al. |
|---|---|
| Primary category | q-fin.CP |
| Published | 29 July 2026 |
| Last updated at source | 29 July 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.