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Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling

Linna, Eljas et al.
arXiv (OAI Expanded) · Papers
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Deep Limit Order Book forecasting models capture nonlinear market dynamics, but their ability to quantify the effects of counterfactual order book messages has not been systematically validated. We introduce a model-agnostic framework that compares a trained forecaster's predictive distributions bef
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