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

Haohan Xu, Jason Bohne, Pawel Polak, Yurij Baransky, Ajay Alva, Violetta Fedotova, Gary Kazantsev, David S Rosenberg

Published: 28 Feb 2026, Last Modified: 06 Mar 2026ICLR 2026 Workshop Advances in Financial AIEveryoneRevisionsBibTeXCC BY 4.0
Track: long paper (up to 8 pages)
Submission Number: 92