Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling
A model-agnostic framework is introduced that compares a trained forecaster's predictive distributions before and after injecting mechanically valid counterfactual messages, defining short-horizon model-implied market impact and providing evidence that pretrained Limit Order Book forecasters can be repurposed for scena...
Eljas Linna, K. Baltakys, D. Manoharan et al.
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