Preprint
Oct 2026
Understanding the Inner Workings of a State-Space Foundation Model for Limit Order Books
Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs). Yet, without understanding their inner workings, research directions are hard to narrow and practical use in real-world trading environments remains uncertain. This stu...
Valentin Mohl, Alexandre Bismuth, Aramis Marti-Shahandeh et al.
· 0 citations