diff --git a/README.md b/README.md new file mode 100644 index 0000000..860d3b3 --- /dev/null +++ b/README.md @@ -0,0 +1,110 @@ +# ⚑️ Latent Micro-Regime Early Detection in LOBs + +

+ Latent Detection Demo +

+ +

+ Status + Framework + Hardware + Precision +

+ +--- + +## πŸŒͺ The Thesis: Stress is not a Bolt from the Blue +Standard market signals like **Volatility** and **Imbalance** are *post-mortem* indicatorsβ€”they tell you the ship is sinking while you're already underwater. + +This project proves that **liquidity instability has a "incubation period."** We capture the latent structural decay *before* the price cracks. + +> **"If you wait for the volatility spike, you've already lost. We detect the silence before the scream."** + +--- + +## 🧠 The Architecture: Causal Delayed Transition +We move beyond simple binary states. Our model architecture assumes a three-stage causal evolution of market failure: + +| State | Regime | Market Reality | Observability | +| :--- | :--- | :--- | :--- | +| **🟒 0** | **Stable** | Equilibrium liquidity | High | +| **🟑 1** | **Latent Build-up** | **Hidden deterioration / Depth erosion** | **Invisible (The "Ghost" Phase)** | +| **πŸ”΄ 2** | **Stress** | Observable Dislocation / Crash | High (Reactive) | + +### πŸ›  The "God-Mode" Detection Logic +Our detector operates on a **MAX-trigger fusion** across high-dimensional channels: +* **Probabilistic Instability:** HMM posterior entropy spikes. +* **Temporal Drift:** Recursive analysis of spread & depth velocity. +* **Structural Erosion:** Real-time order flow decay signals. +* **Rising-Edge Trigger:** Precise identification of the *onset* of instability. + +--- + +## πŸ“Š Performance Matrix (The "Kill-The-Baselines" Table) + +While classical signals lag by **20+ units**, our **Adaptive Trigger** provides an average lead-time of **+18.62**, catching the regime shift before it manifests in price. + +| Method | Mean $\Delta$ (Lead-Time) | Precision | Coverage | +| :--- | :--- | :--- | :--- | +| **πŸ”₯ Adaptive Trigger** | **+18.62** | **100%** | **52.6%** | +| 🧬 Model-Only | +14.95 | 100% | 43.2% | +| πŸ“‘ Multi-Trigger | +13.15 | 100% | 28.1% | +| πŸ“‰ Imbalance | -24.84 | 54.9% | 78.7% | +| πŸ“‰ Volatility | -32.02 | 45.5% | 43.3% | + +--- + +## πŸ“‚ Project Anatomy +```bash +. +β”œβ”€β”€ πŸ§ͺ experiments/ # Evolutionary stages v1 β†’ v7 (The Lab) +β”œβ”€β”€ πŸ““ notebooks/ # Final production-grade experiment notebook +β”œβ”€β”€ πŸ“ˆ results/ # High-fidelity figures & summary.txt +β”œβ”€β”€ πŸ“„ paper/ # The theoretical foundation (PDF) +β”œβ”€β”€ 🎨 assets/ # Dynamic visualization & GIFs +└── πŸ“œ README.md # You are here. +``` + +--- + +## ⚑ Quick Start (Reproduction Pipeline) + +Tested on **NVIDIA T4 (Colab)** and **Apple Silicon M4**. Results are 100% deterministic via seeded initialization. + +```bash +# Clone the madness +git clone https://github.com/your-repo/latent-lob-detection.git +cd latent-lob-detection + +# Arm the environment +pip install -r requirements.txt + +# Run the flagship pipeline +python experiments/v7_final.py +``` + +--- + +## πŸ† Key Contributions +1. **Causal Latent Theory:** Formalized the $Regime 1 \rightarrow Regime 2$ transition delay. +2. **Zero-False-Positive Logic:** 100% precision thresholding in the early-detection window. +3. **The Trigger Fusion:** Combined entropy, drift, and flow into a single "Early-Warning" signal. +4. **Positive Lead-Time:** Mathematically demonstrated dominance over reactive baselines. + +--- + +## πŸ“ Citation +```bibtex +@article{lob_micro_regime_detection_2026, + title={Early Detection of Latent Micro-Regimes in Limit Order Books}, + author={Hiremath, Prakul}, + year={2026} +} +``` + +--- + +

+ Built with β˜•οΈ, 🐍, and a relentless pursuit of Alpha.
+ License: MIT +