Latent Continuum of Regimes in Limit Order Book Dynamics

Anjali Thawait · 2026 · SSRN Electronic Journal

DOI: 10.2139/ssrn.7539478 · cited by 0 works (OpenAlex) · open-access PDF

Abstract

Market-regime models typically assume a finite set of discrete latent states. We examine whether high frequency limit-order-book dynamics exhibit distinct regime separation or apparent regimes result from discretising an underlying continuum, analysing deep limit-order book data for EURO STOXX 50 index futures across 987 clean trading days from 2022 to 2025 using 30, 45 and 60-second aggregation windows. Market states are represented by symmetric positive definite covariance matrices and analysed under Log-Euclidean and affine-invariant geometries; the resulting state cloud has an effective di

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Topics: Mathematics, Econometrics, Discretization, Covariance, Statistical physics, Unobservable

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