q-fin.TR · 2026-09-28 · No. 127

Trading and Market Microstructure, 2026-09-28.

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

    Agentic Limit Order Books: Phase Transitions and Market Impact

    Jan Rosenzweig

    q-fin.TR · cs.AI · q-fin.CP

    We investigate the systemic macroscopic dynamics emerging from Limit Order Books (LOBs) populated exclusively by autonomous reinforcement-learning agentic traders. By formalizing agent interactions within a microscopic order-matching engine, we examine two fundamental quantitative phenomena: equilibrium phase transitions in order flow regime shifts, and the structural dynamics of market impact. We show that agentic LOBs exhibit distinct phase...

    arxiv.org/abs/2609.31260 · PDF

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