AI RESEARCH
When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books
arXiv CS.LG
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ArXi:2604.21993v1 Announce Type: new 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.