q-fin.TR · 2026-07-13 · No. 52

Trading and Market Microstructure, 2026-07-13.

1 new papers in q-fin.TR. Titles, authors, abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →

01 — The papers

1 entries
  1. 01

    When Does Order Flow Matter? State-Dependent L2 Liquidity-State Transitions in Crypto Futures

    Joohyoung Jeon

    q-fin.TR · cs.LG

    Building event-conditioned market models requires separating macro-event labels from persistent microstructure state. We study this distinction in Binance BTCUSDT and ETHUSDT futures from 2023-2026, combining top-20 L2 order book data, trade-flow records, and macro-event windows. We define a supervised discrete L2 liquidity-state transition task, distinct from latent-regime detection and price-direction prediction, and evaluate models in...

    arxiv.org/abs/2607.09230 · PDF

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