Newest papers

Neural Estimation of Irreversibility in Real and Simulated Limit Order Book Paths

Hyeonjun Yeo, Doohwi Cha, Yoontae Hwang · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.16151 · cited by 0 works (OpenAlex) · open-access PDF

Japanese

コード自体の逆転から区別できないパスは時間の矢印を持たないため、時間の不可逆性は、方向性メカニズムが単に軌道から読み取れる必要条件である。 金融では、それは回転と変動性などのスカラルシリーズでしか測定されていません。 NVDAのための、順序変動と順序敏感のオーディションブックパスの不可逆性率は、それぞれのイベントごとに前向きに逆転したログ密度比率として定義されます。それらの差異、順序増加は、Nasdaqの3週間の市場順序データで、順序変動しないMLPと、観測された経路の無逆性の30%を回収します。 順序増加率は、HTTPの代わりに、10年分の

Machine translation (Meta M2M100); the English original follows.

Abstract

A path indistinguishable from its own reverse carries no arrow of time, so time irreversibility is a necessary condition for a directed mechanism to be readable from trajectories alone. In finance it has been measured only on scalar series such as returns and volatility. We define the irreversibility rate of a coarse-grained limit order book path as the forward-to-reverse log-density ratio per event, and estimate it from three weeks of Nasdaq market-by-order data with an order-invariant MLP and a temporal convolutional network that receive identical blocks. For NVDA, the order-invariant and order-sensitive estimates are 0.036 and 0.054 nats per event, respectively. Their difference, the ordering increment, is 0.018. A surrogate preserving the coarse one-step transition table recovers 30 percent less irreversibility than the observed paths. The increment is positive for all twelve symbols on every held-out daytime date, and for NVDA in each session window. It changes more than tenfold with the coarse-graining scale. Neither a linear score nor any single feature group reproduces the full fitted rate. A queue-reactive simulator calibrated on the same days matches the market's ordered rate, 0.052 against 0.054, yet its ordering increment is 0.0006 against 0.018, building temporal asymmetry out of block composition instead of block order. We propose the ordering and scale profile of path irreversibility as a benchmark for order book simulators. Code and audit materials are available at https://github.com/hjyeo30/lob-irreversibility.

Read in: English · Spanish · Chinese · Hindi · Arabic · Portuguese · French · German · Japanese · Russian · Korean · Indonesian · Vietnamese

Topics: Path (computing), Mathematics, Limit (mathematics), Benchmark (surveying), Block (permutation group theory), Asymmetry

Sources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange