Create index.html
This commit is contained in:
PRAKUL HIREMATH
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<!DOCTYPE html>
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<html lang="en">
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<head>
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<meta charset="UTF-8">
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<meta name="viewport" content="width=device-width, initial-scale=1.0">
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<title>LOB Latent Regimes — Early Detection of Market Micro-Instability</title>
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<meta name="description" content="Detect latent market stress before it surfaces. A reproducible research framework for identifying structural deterioration in limit order books.">
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<!-- Tailwind CSS via CDN -->
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<script src="https://cdn.tailwindcss.com"></script>
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<!-- MathJax for LaTeX rendering -->
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<script src="https://polyfill.io/v3/polyfill.min.js?features=es6"></script>
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<script id="MathJax-script" async src="https://cdn.jsdelivr.net/npm/mathjax@3/es5/tex-mml-chtml.js"></script>
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<!-- Syntax highlighting -->
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/highlight.js/11.9.0/styles/atom-one-dark.min.css">
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<script src="https://cdnjs.cloudflare.com/ajax/libs/highlight.js/11.9.0/highlight.min.js"></script>
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<style>
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:root {
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--accent: #0284c7;
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--accent-light: #38bdf8;
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--accent-dark: #0369a1;
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--danger: #ef4444;
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--success: #10b981;
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--warning: #f59e0b;
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}
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html {
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scroll-behavior: smooth;
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}
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body {
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font-family: -apple-system, BlinkMacSystemFont, 'Segoe UI', 'Inter', sans-serif;
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}
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.font-display {
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font-family: -apple-system, BlinkMacSystemFont, 'Segoe UI', sans-serif;
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letter-spacing: -0.02em;
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}
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/* Math rendering */
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.math-block {
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background: #f8fafc;
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padding: 2rem;
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border-radius: 0.5rem;
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overflow-x: auto;
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margin: 1.5rem 0;
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border-left: 3px solid var(--accent);
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}
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/* Code block styling */
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.code-block {
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background: #0f172a;
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color: #e2e8f0;
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padding: 1.5rem;
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border-radius: 0.5rem;
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overflow-x: auto;
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font-family: 'Monaco', 'Menlo', monospace;
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font-size: 0.875rem;
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line-height: 1.6;
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}
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.code-block code {
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color: #e2e8f0;
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}
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.hljs-string { color: #86efac !important; }
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.hljs-number { color: #fbbf24 !important; }
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.hljs-literal { color: #818cf8 !important; }
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.hljs-attr { color: #60a5fa !important; }
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.hljs-title { color: #38bdf8 !important; }
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.hljs-comment { color: #64748b !important; }
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/* Architecture diagram */
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.diagram-box {
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background: #f8fafc;
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border: 1px solid #e2e8f0;
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padding: 1.5rem;
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border-radius: 0.375rem;
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font-family: 'Courier New', monospace;
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font-size: 0.75rem;
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line-height: 1.4;
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overflow-x: auto;
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color: #475569;
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}
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/* State diagram */
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.state-diagram {
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background: #f8fafc;
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border: 1px solid #e2e8f0;
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padding: 2rem;
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border-radius: 0.5rem;
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margin: 2rem 0;
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font-family: 'Courier New', monospace;
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font-size: 0.85rem;
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line-height: 1.6;
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color: #475569;
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}
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/* Signal card */
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.signal-card {
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background: linear-gradient(135deg, rgba(2, 132, 199, 0.05) 0%, rgba(56, 189, 248, 0.05) 100%);
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border: 1px solid #e2e8f0;
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padding: 1.5rem;
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border-radius: 0.5rem;
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border-left: 3px solid var(--accent);
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}
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/* Results table */
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table {
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width: 100%;
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border-collapse: collapse;
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margin: 2rem 0;
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}
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thead {
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background: #f8fafc;
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}
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th {
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padding: 1rem;
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text-align: left;
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font-weight: 600;
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color: #1e293b;
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border-bottom: 2px solid #e2e8f0;
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}
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td {
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padding: 1rem;
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border-bottom: 1px solid #e2e8f0;
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color: #475569;
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}
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tr:hover {
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background: #f8fafc;
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}
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.positive-lead { color: var(--success); font-weight: 600; }
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.negative-lead { color: var(--danger); font-weight: 600; }
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.precision-perfect { color: var(--success); font-weight: 600; }
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/* Badge */
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.badge {
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display: inline-block;
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padding: 0.375rem 0.75rem;
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border: 1px solid #e2e8f0;
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border-radius: 0.375rem;
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font-size: 0.75rem;
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font-weight: 600;
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text-decoration: none;
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color: #475569;
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transition: all 0.2s ease;
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}
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.badge:hover {
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border-color: var(--accent);
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color: var(--accent);
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background: rgba(2, 132, 199, 0.05);
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}
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/* Comparison grid */
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.comparison-item {
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background: #f8fafc;
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border: 1px solid #e2e8f0;
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padding: 1.5rem;
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border-radius: 0.375rem;
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transition: all 0.3s ease;
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}
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.comparison-item:hover {
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background: #f1f5f9;
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border-color: var(--accent);
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box-shadow: 0 4px 12px rgba(2, 132, 199, 0.08);
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}
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.comparison-item.success {
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border-left: 3px solid var(--success);
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}
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.comparison-item.danger {
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border-left: 3px solid var(--danger);
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}
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/* Hero section */
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.hero {
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background: linear-gradient(135deg, #ffffff 0%, #f8fafc 100%);
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padding: 6rem 0;
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border-bottom: 1px solid #e2e8f0;
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}
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.hero-accent {
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color: var(--accent);
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}
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/* Section */
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.section {
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padding: 4rem 0;
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}
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.section h2 {
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font-size: 2rem;
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font-weight: 700;
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color: #0f172a;
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margin-bottom: 1.5rem;
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letter-spacing: -0.01em;
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}
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.section h3 {
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font-size: 1.375rem;
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font-weight: 600;
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color: #1e293b;
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margin-top: 2rem;
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margin-bottom: 1rem;
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}
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.section p {
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font-size: 1rem;
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line-height: 1.7;
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color: #475569;
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margin-bottom: 1rem;
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}
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.section ul {
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margin-left: 1.5rem;
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margin-bottom: 1rem;
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}
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.section li {
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color: #475569;
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margin-bottom: 0.5rem;
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line-height: 1.7;
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}
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/* Button */
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.btn {
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display: inline-block;
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padding: 0.75rem 1.5rem;
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background: var(--accent);
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color: white;
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text-decoration: none;
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border-radius: 0.375rem;
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font-weight: 600;
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font-size: 0.875rem;
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transition: all 0.2s ease;
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border: 1px solid var(--accent);
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}
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.btn:hover {
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background: var(--accent-dark);
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border-color: var(--accent-dark);
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box-shadow: 0 4px 12px rgba(2, 132, 199, 0.3);
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}
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.btn-outline {
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background: transparent;
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color: var(--accent);
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}
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.btn-outline:hover {
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background: rgba(2, 132, 199, 0.1);
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}
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/* Divider */
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.divider {
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height: 1px;
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background: linear-gradient(90deg, transparent, #e2e8f0, transparent);
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margin: 4rem 0;
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}
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/* Info box */
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.info-box {
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background: #f0f9ff;
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border-left: 3px solid var(--accent);
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padding: 1.5rem;
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border-radius: 0.375rem;
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margin: 2rem 0;
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}
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.warning-box {
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background: #fef3c7;
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border-left: 3px solid var(--warning);
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padding: 1.5rem;
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border-radius: 0.375rem;
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margin: 2rem 0;
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}
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.info-box strong { color: var(--accent); }
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.warning-box strong { color: var(--warning); }
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/* Stat boxes */
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.stat-grid {
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display: grid;
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grid-template-columns: repeat(auto-fit, minmax(180px, 1fr));
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gap: 1.5rem;
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margin: 2rem 0;
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}
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.stat-box {
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background: #f8fafc;
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border: 1px solid #e2e8f0;
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padding: 1.5rem;
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border-radius: 0.375rem;
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text-align: center;
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}
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.stat-value {
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font-size: 2.5rem;
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font-weight: 700;
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color: var(--accent);
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font-family: 'Courier New', monospace;
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}
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.stat-label {
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font-size: 0.75rem;
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color: #475569;
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margin-top: 0.5rem;
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}
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/* Metric chip */
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.metric-chip {
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display: inline-block;
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background: #f0f9ff;
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border: 1px solid var(--accent);
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color: var(--accent);
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padding: 0.5rem 1rem;
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border-radius: 0.375rem;
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font-size: 0.875rem;
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font-weight: 600;
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margin-right: 0.5rem;
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margin-bottom: 0.5rem;
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}
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/* Two-column layout */
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.comparison-table {
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display: grid;
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grid-template-columns: 1fr 1fr;
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gap: 2rem;
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margin: 2rem 0;
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}
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@media (max-width: 768px) {
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.comparison-table {
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grid-template-columns: 1fr;
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}
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}
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/* Gradient text */
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.gradient-text {
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background: linear-gradient(135deg, var(--accent) 0%, var(--accent-light) 100%);
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-webkit-background-clip: text;
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-webkit-text-fill-color: transparent;
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background-clip: text;
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}
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/* Animation */
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@keyframes fadeInUp {
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from {
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opacity: 0;
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transform: translateY(20px);
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}
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to {
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opacity: 1;
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transform: translateY(0);
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}
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}
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.animate-fade-in {
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animation: fadeInUp 0.6s ease;
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}
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/* Trigger visualization */
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.trigger-logic {
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background: #f8fafc;
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border: 1px solid #e2e8f0;
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padding: 2rem;
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border-radius: 0.5rem;
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font-family: 'Courier New', monospace;
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font-size: 0.85rem;
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line-height: 1.8;
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color: #475569;
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}
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</style>
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</head>
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<body class="bg-white text-gray-900">
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<!-- Hero Section -->
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<div class="hero">
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<div class="max-w-6xl mx-auto px-6 sm:px-8">
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<!-- Badges -->
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||||||
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<div class="flex flex-wrap gap-2 mb-8">
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||||||
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<a href="https://arxiv.org/abs/2604.20949" class="badge" target="_blank" rel="noopener">
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||||||
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📄 arXiv:2604.20949
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||||||
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</a>
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||||||
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<a href="https://doi.org/10.5281/zenodo.19697687" class="badge" target="_blank" rel="noopener">
|
||||||
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🔬 Zenodo
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||||||
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</a>
|
||||||
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<a href="https://github.com/prakulhiremath/LOB-Latent-Regimes" class="badge" target="_blank" rel="noopener">
|
||||||
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🔗 GitHub
|
||||||
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</a>
|
||||||
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<span class="badge">✓ Reproducible</span>
|
||||||
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<span class="badge">⚡ Causal</span>
|
||||||
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<span class="badge">🎯 100% Precision</span>
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||||||
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</div>
|
||||||
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|
||||||
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<!-- Hero Content -->
|
||||||
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<div class="max-w-3xl">
|
||||||
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<h1 class="text-5xl sm:text-6xl font-display font-bold mb-4 text-slate-900">
|
||||||
|
LOB Latent Regimes
|
||||||
|
</h1>
|
||||||
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<p class="text-xl text-slate-600 mb-2 font-display font-semibold">
|
||||||
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Latent Micro-Regime Early Detection in Limit Order Books
|
||||||
|
</p>
|
||||||
|
<p class="text-2xl font-display font-semibold mb-8">
|
||||||
|
<span class="text-slate-700">Identify structural market instability</span>
|
||||||
|
<span class="hero-accent"> before it surfaces</span>
|
||||||
|
</p>
|
||||||
|
<p class="text-lg text-slate-600 mb-8 max-w-2xl leading-relaxed">
|
||||||
|
A reproducible research framework for detecting latent build-up phases in financial markets. Fires with positive lead-time and 100% precision, exploiting the measurable delay between structural deterioration and observable stress.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<div class="flex flex-wrap gap-4">
|
||||||
|
<a href="#framework" class="btn">Learn More</a>
|
||||||
|
<a href="https://github.com/prakulhiremath/LOB-Latent-Regimes" class="btn btn-outline" target="_blank" rel="noopener">
|
||||||
|
View on GitHub →
|
||||||
|
</a>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<p class="text-sm text-slate-500 mt-6 italic">
|
||||||
|
⚠️ Research pipeline. Not a trading strategy. See Scope & Limitations below.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<!-- Core Insight -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<div class="bg-slate-50 border-l-4 border-blue-600 p-8 rounded-sm">
|
||||||
|
<p class="text-lg text-slate-800 font-semibold mb-4">
|
||||||
|
"Market stress does not arrive without warning. It accumulates."
|
||||||
|
</p>
|
||||||
|
<p class="text-slate-700 leading-relaxed">
|
||||||
|
Classical indicators—volatility, order imbalance, spread widening—are <strong>reactive</strong>. By the time they fire, the dislocation has already begun. This research asks a harder question: <em>Can we detect the structural deterioration that precedes observable stress—before it becomes visible in price or spread?</em>
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- The Problem -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>The Three Regimes</h2>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
Markets cycle through three distinct states. The critical regime is invisible to standard microstructure monitors.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<div class="state-diagram">
|
||||||
|
<pre>┌──────────────────────────────────────────────────────────────────┐
|
||||||
|
│ │
|
||||||
|
│ STATE 0 ────────────► STATE 1 ────────────► STATE 2 │
|
||||||
|
│ │
|
||||||
|
│ Stable Latent Build-up Stress │
|
||||||
|
│ ─────── ─────────────── ────── │
|
||||||
|
│ • Balanced liquidity • Depth eroding • Price shock │
|
||||||
|
│ • High resilience • Spread drifting • Visible │
|
||||||
|
│ • Equilibrium • ⚠ Hidden instability • Reactive │
|
||||||
|
│ │
|
||||||
|
│ Observable INVISIBLE Observable │
|
||||||
|
│ (past data) (our signal fires) (too late) │
|
||||||
|
│ │
|
||||||
|
│ ◄──── detection window ────► │
|
||||||
|
│ ↑ ↑ │
|
||||||
|
│ we detect stress begins │
|
||||||
|
│ │
|
||||||
|
└──────────────────────────────────────────────────────────────────┘</pre>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
<strong>The key insight:</strong> The transition from State 1 → State 2 is not instantaneous. There is a measurable delay — and within that delay lives our detection window. We exploit it.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<div class="info-box">
|
||||||
|
<p>
|
||||||
|
<strong>Why this matters:</strong> Depth erosion precedes spread widening, which precedes price impact. If we detect the book thinning silently, we have time to respond before the visible stress cascade begins.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Detection Framework -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section" id="framework">
|
||||||
|
<h2>Detection Framework</h2>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
Three independent signal channels. One fused trigger. Rising-edge detection instead of thresholds.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<h3>Signal Channels</h3>
|
||||||
|
|
||||||
|
<div class="grid grid-cols-1 md:grid-cols-3 gap-6 my-8">
|
||||||
|
<!-- Channel 1 -->
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-3">📊 HMM Posterior Entropy</h4>
|
||||||
|
<p class="text-sm text-slate-700 mb-3">
|
||||||
|
Uncertainty in regime classification
|
||||||
|
</p>
|
||||||
|
<p class="text-xs text-slate-600">
|
||||||
|
<strong>Why early:</strong> Rises as the latent state becomes ambiguous, before the transition to stress solidifies.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<!-- Channel 2 -->
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-3">📉 Temporal Depth Drift</h4>
|
||||||
|
<p class="text-sm text-slate-700 mb-3">
|
||||||
|
Recursive tracking of LOB depth erosion
|
||||||
|
</p>
|
||||||
|
<p class="text-xs text-slate-600">
|
||||||
|
<strong>Why early:</strong> Captures slow structural decay invisible to snapshot metrics. Liquid book → thin book is the first visible sign.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<!-- Channel 3 -->
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-3">⚖️ Order Flow Toxicity</h4>
|
||||||
|
<p class="text-sm text-slate-700 mb-3">
|
||||||
|
Imbalance between informed and uninformed flow
|
||||||
|
</p>
|
||||||
|
<p class="text-xs text-slate-600">
|
||||||
|
<strong>Why early:</strong> Signals adverse selection building in the book before visible spread impact.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<h3>Trigger Logic</h3>
|
||||||
|
|
||||||
|
<div class="trigger-logic">
|
||||||
|
<pre>MAX-Fusion Trigger
|
||||||
|
├── Rising-edge detection
|
||||||
|
│ └─ Onset of change, not absolute level
|
||||||
|
│ └─ Bypasses noise floor that kills threshold methods
|
||||||
|
│
|
||||||
|
├── Cross-channel aggregation
|
||||||
|
│ └─ Fire when ANY channel breaches threshold
|
||||||
|
│
|
||||||
|
└── Early-detection constraint
|
||||||
|
└─ Signal must precede stress (τ < σ)</pre>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="info-box mt-8">
|
||||||
|
<p>
|
||||||
|
<strong>Key design choice:</strong> We don't ask "is the spread wide?" We ask "is it getting wider <em>right now</em>?" This rising-edge approach bypasses the noise floor that kills absolute-threshold methods on real microstructure data.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Results -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Empirical Results</h2>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
Evaluated under full causal guarantees. No lookahead bias. No global statistics leaked to the predictor.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<table>
|
||||||
|
<thead>
|
||||||
|
<tr>
|
||||||
|
<th>Method</th>
|
||||||
|
<th>Lead-Time (steps)</th>
|
||||||
|
<th>Precision</th>
|
||||||
|
<th>Coverage</th>
|
||||||
|
</tr>
|
||||||
|
</thead>
|
||||||
|
<tbody>
|
||||||
|
<tr style="background: rgba(16, 185, 129, 0.05);">
|
||||||
|
<td><strong>★ Adaptive Trigger</strong></td>
|
||||||
|
<td class="positive-lead">+18.6</td>
|
||||||
|
<td class="precision-perfect">100%</td>
|
||||||
|
<td>52.6%</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td>HMM</td>
|
||||||
|
<td class="positive-lead">+14.9</td>
|
||||||
|
<td class="precision-perfect">100%</td>
|
||||||
|
<td>43.2%</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td>Multi-Trigger</td>
|
||||||
|
<td class="positive-lead">+13.1</td>
|
||||||
|
<td class="precision-perfect">100%</td>
|
||||||
|
<td>28.1%</td>
|
||||||
|
</tr>
|
||||||
|
<tr style="border-top: 2px solid #e2e8f0;">
|
||||||
|
<td>Order Imbalance</td>
|
||||||
|
<td class="negative-lead">−24.8</td>
|
||||||
|
<td>54.9%</td>
|
||||||
|
<td>78.7%</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td>Volatility</td>
|
||||||
|
<td class="negative-lead">−32.0</td>
|
||||||
|
<td>45.5%</td>
|
||||||
|
<td>43.3%</td>
|
||||||
|
</tr>
|
||||||
|
</tbody>
|
||||||
|
</table>
|
||||||
|
|
||||||
|
<div class="info-box mt-8">
|
||||||
|
<p>
|
||||||
|
<strong>Reading the table:</strong> Positive lead-time means the signal fires <em>before</em> stress begins. Baseline methods are strictly negative—they lag. 100% precision means zero false starts during the latent phase—every trigger is temporally valid.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<h3>Key Findings</h3>
|
||||||
|
|
||||||
|
<div class="grid grid-cols-1 md:grid-cols-2 gap-6 my-8">
|
||||||
|
<div class="comparison-item success">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">✓ Latent Instability Is Real</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Market regimes structurally deteriorate before visible deterioration. Consistent empirical signature across tested sessions.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="comparison-item success">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">✓ Depth Erosion Is Most Reliable</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Depth decay in the LOB precedes spread widening and price impact. Book thinning is the earliest signal.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="comparison-item success">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">✓ HMM Entropy Works</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Posterior entropy is a structural stress barometer. Model uncertainty itself is informative.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="comparison-item success">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">✓ Rising-Edge Beats Thresholds</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Onset of deterioration carries more information than magnitude. No false starts from noise.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Reproducibility -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Reproducibility Guarantees</h2>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
This pipeline was engineered to be trusted. Every result is verifiable and repeatable.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<div class="stat-grid">
|
||||||
|
<div class="stat-box">
|
||||||
|
<p class="stat-label">✓ Causal</p>
|
||||||
|
<p class="stat-value" style="font-size: 1.5rem;">No Lookahead</p>
|
||||||
|
</div>
|
||||||
|
<div class="stat-box">
|
||||||
|
<p class="stat-label">✓ Rolling Norm</p>
|
||||||
|
<p class="stat-value" style="font-size: 1.5rem;">No Data Leakage</p>
|
||||||
|
</div>
|
||||||
|
<div class="stat-box">
|
||||||
|
<p class="stat-label">✓ HMM Re-fit</p>
|
||||||
|
<p class="stat-value" style="font-size: 1.5rem;">Periodic</p>
|
||||||
|
</div>
|
||||||
|
<div class="stat-box">
|
||||||
|
<p class="stat-label">✓ Deterministic</p>
|
||||||
|
<p class="stat-value" style="font-size: 1.5rem;">Fixed Seeds</p>
|
||||||
|
</div>
|
||||||
|
<div class="stat-box">
|
||||||
|
<p class="stat-label">✓ Validated</p>
|
||||||
|
<p class="stat-value" style="font-size: 1.5rem;">Colab + M4</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="warning-box mt-8">
|
||||||
|
<p>
|
||||||
|
<strong>Causality verification:</strong> Rolling normalization only—no global statistics computed on future data. HMM re-fit every evaluation window. All results are exact under deterministic seeds across NVIDIA T4 (Google Colab) and Apple Silicon (M4 Pro/Max).
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Quickstart -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Quickstart</h2>
|
||||||
|
|
||||||
|
<h3>Clone & Install</h3>
|
||||||
|
|
||||||
|
<div class="code-block mb-8"><pre><code class="language-bash">git clone https://github.com/prakulhiremath/LOB-Latent-Regimes.git
|
||||||
|
cd LOB-Latent-Regimes
|
||||||
|
pip install -r requirements.txt</code></pre></div>
|
||||||
|
|
||||||
|
<h3>Run the Final Pipeline</h3>
|
||||||
|
|
||||||
|
<div class="code-block mb-8"><pre><code class="language-bash">python experiments/v7_final.py</code></pre></div>
|
||||||
|
|
||||||
|
<p>Expected output:</p>
|
||||||
|
|
||||||
|
<div class="bg-slate-900 text-slate-100 p-6 rounded font-mono text-sm border border-slate-700 mb-8">
|
||||||
|
<pre>[INFO] Loading normalized LOB snapshots...
|
||||||
|
[INFO] Running causal evaluation pipeline...
|
||||||
|
[INFO] Fitting HMM with rolling windows...
|
||||||
|
[INFO] Computing signal channels (entropy, depth, toxicity)...
|
||||||
|
[INFO] Fusing triggers with MAX aggregation...
|
||||||
|
[INFO] Computing lead-time and precision metrics...
|
||||||
|
|
||||||
|
╔════════════════════════════════════════════════════════════════╗
|
||||||
|
║ Adaptive Trigger +18.6 steps 100% precision 52.6% ║
|
||||||
|
║ HMM +14.9 steps 100% precision 43.2% ║
|
||||||
|
║ Multi-Trigger +13.1 steps 100% precision 28.1% ║
|
||||||
|
╚════════════════════════════════════════════════════════════════╝</pre>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<h3>Explore Individual Signals</h3>
|
||||||
|
|
||||||
|
<div class="code-block"><pre><code class="language-bash">jupyter notebook notebooks/analysis.ipynb</code></pre></div>
|
||||||
|
|
||||||
|
<p>Contains: Signal decomposition, lead-time distributions, regime transition visualizations, baseline comparisons.</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Repository Structure -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Repository Structure</h2>
|
||||||
|
|
||||||
|
<div class="diagram-box">
|
||||||
|
<pre>LOB-Latent-Regimes/
|
||||||
|
│
|
||||||
|
├── experiments/
|
||||||
|
│ ├── v1_baseline.py # Initial HMM formulation
|
||||||
|
│ ├── v2_entropy.py # Posterior entropy tracking
|
||||||
|
│ ├── v3_depth_drift.py # Temporal depth signal
|
||||||
|
│ ├── v4_triggers.py # Trigger logic development
|
||||||
|
│ ├── v5_fusion.py # MAX-fusion framework
|
||||||
|
│ ├── v6_rising_edge.py # Rising-edge detection
|
||||||
|
│ └── v7_final.py # ★ Production pipeline
|
||||||
|
│
|
||||||
|
├── notebooks/
|
||||||
|
│ └── analysis.ipynb # Experiment analysis + figures
|
||||||
|
│
|
||||||
|
├── results/
|
||||||
|
│ ├── figures/ # High-resolution performance plots
|
||||||
|
│ └── summary.txt # Quantified results
|
||||||
|
│
|
||||||
|
├── paper/ # Technical manuscript
|
||||||
|
├── assets/ # Visualizations, GIFs, detection timeline
|
||||||
|
├── requirements.txt # Dependencies
|
||||||
|
└── README.md</pre>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<h3>Development Progression</h3>
|
||||||
|
|
||||||
|
<p>The pipeline evolved through 7 versions, each adding precision:</p>
|
||||||
|
|
||||||
|
<table>
|
||||||
|
<thead>
|
||||||
|
<tr>
|
||||||
|
<th>Version</th>
|
||||||
|
<th>Focus</th>
|
||||||
|
<th>Key Innovation</th>
|
||||||
|
</tr>
|
||||||
|
</thead>
|
||||||
|
<tbody>
|
||||||
|
<tr>
|
||||||
|
<td><code>v1</code></td>
|
||||||
|
<td>Baseline HMM</td>
|
||||||
|
<td>Three-state Markov model for regime classification</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td><code>v2</code></td>
|
||||||
|
<td>Entropy Signal</td>
|
||||||
|
<td>Posterior entropy as stress barometer</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td><code>v3</code></td>
|
||||||
|
<td>Depth Drift</td>
|
||||||
|
<td>Temporal tracking of LOB depth erosion</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td><code>v4</code></td>
|
||||||
|
<td>Trigger Design</td>
|
||||||
|
<td>Individual signal thresholds</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td><code>v5</code></td>
|
||||||
|
<td>Multi-Signal Fusion</td>
|
||||||
|
<td>MAX aggregation across channels</td>
|
||||||
|
</tr>
|
||||||
|
<tr>
|
||||||
|
<td><code>v6</code></td>
|
||||||
|
<td>Rising-Edge</td>
|
||||||
|
<td>Onset detection instead of absolute levels</td>
|
||||||
|
</tr>
|
||||||
|
<tr style="background: rgba(16, 185, 129, 0.05);">
|
||||||
|
<td><code>★ v7</code></td>
|
||||||
|
<td>Final Pipeline</td>
|
||||||
|
<td>Production configuration, full causal guarantees</td>
|
||||||
|
</tr>
|
||||||
|
</tbody>
|
||||||
|
</table>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Scope & Limitations -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Scope & Limitations</h2>
|
||||||
|
|
||||||
|
<p>
|
||||||
|
Be precise about what this is and is not.
|
||||||
|
</p>
|
||||||
|
|
||||||
|
<div class="comparison-table">
|
||||||
|
<div class="comparison-item">
|
||||||
|
<h4 class="font-bold text-green-700 mb-3">✓ This Repo IS</h4>
|
||||||
|
<ul class="space-y-2 text-sm text-slate-700">
|
||||||
|
<li>Detection framework for latent regime transitions</li>
|
||||||
|
<li>Empirical study of LOB microstructure</li>
|
||||||
|
<li>Reproducible research pipeline</li>
|
||||||
|
<li>Contribution to predictive market microstructure</li>
|
||||||
|
<li>Academic exercise in causal signal processing</li>
|
||||||
|
</ul>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="comparison-item danger">
|
||||||
|
<h4 class="font-bold text-red-700 mb-3">✗ This Repo IS NOT</h4>
|
||||||
|
<ul class="space-y-2 text-sm text-slate-700">
|
||||||
|
<li>A trading strategy or system</li>
|
||||||
|
<li>Optimised for execution latency</li>
|
||||||
|
<li>A production trading system</li>
|
||||||
|
<li>Financial advice or investment guidance</li>
|
||||||
|
<li>Tested in live market conditions</li>
|
||||||
|
</ul>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="warning-box mt-8">
|
||||||
|
<p>
|
||||||
|
<strong>Important:</strong> This is research code. Backtesting results do not guarantee forward performance. Live trading requires rigorous validation, risk management, and regulatory compliance beyond the scope of this work.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Contributions -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Research Contributions</h2>
|
||||||
|
|
||||||
|
<div class="grid grid-cols-1 md:grid-cols-2 gap-6">
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">Causal Formulation</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Model latent build-up → stress transition as a three-state latent process with explicit temporal separation.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">Temporal Drift Identification</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Subtle depth and spread drift as leading precursor to liquidity voids. Recursive tracking without lookahead.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">Novel Detection Logic</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
MAX-fusion + rising-edge trigger for sub-millisecond microstructure data. Positive lead-time guarantee.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="signal-card">
|
||||||
|
<h4 class="font-bold text-slate-900 mb-2">Empirical Demonstration</h4>
|
||||||
|
<p class="text-sm text-slate-700">
|
||||||
|
Strictly positive lead-time over reactive benchmarks across all evaluated regimes. 100% precision.
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Citation -->
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8 section">
|
||||||
|
<h2>Citation</h2>
|
||||||
|
|
||||||
|
<div class="code-block">
|
||||||
|
<pre><code>@article{hiremath2026lob,
|
||||||
|
title = {Early Detection of Latent Micro-Regimes in Limit Order Books},
|
||||||
|
author = {Hiremath, Prakul Sunil and Hiremath, Vruksha Arun},
|
||||||
|
year = {2026},
|
||||||
|
doi = {10.5281/zenodo.19697687}
|
||||||
|
}</code></pre>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="divider"></div>
|
||||||
|
|
||||||
|
<!-- Footer -->
|
||||||
|
<div class="bg-slate-50 border-t border-slate-200 py-12">
|
||||||
|
<div class="max-w-6xl mx-auto px-6 sm:px-8">
|
||||||
|
<div class="grid grid-cols-1 sm:grid-cols-3 gap-8 mb-12">
|
||||||
|
<div>
|
||||||
|
<h4 class="font-semibold text-slate-900 mb-4">Resources</h4>
|
||||||
|
<ul class="space-y-2 text-sm">
|
||||||
|
<li><a href="https://arxiv.org/abs/2604.20949" class="text-blue-600 hover:underline" target="_blank" rel="noopener">arXiv Paper</a></li>
|
||||||
|
<li><a href="https://github.com/prakulhiremath/LOB-Latent-Regimes" class="text-blue-600 hover:underline" target="_blank" rel="noopener">GitHub Repository</a></li>
|
||||||
|
<li><a href="https://doi.org/10.5281/zenodo.19697687" class="text-blue-600 hover:underline" target="_blank" rel="noopener">Zenodo Archive</a></li>
|
||||||
|
</ul>
|
||||||
|
</div>
|
||||||
|
<div>
|
||||||
|
<h4 class="font-semibold text-slate-900 mb-4">Explore</h4>
|
||||||
|
<ul class="space-y-2 text-sm">
|
||||||
|
<li><a href="#framework" class="text-blue-600 hover:underline">Detection Framework</a></li>
|
||||||
|
<li><a href="https://github.com/prakulhiremath/LOB-Latent-Regimes/blob/main/notebooks/analysis.ipynb" class="text-blue-600 hover:underline" target="_blank" rel="noopener">Analysis Notebook</a></li>
|
||||||
|
<li><a href="https://github.com/prakulhiremath/LOB-Latent-Regimes/issues" class="text-blue-600 hover:underline" target="_blank" rel="noopener">Report Issues</a></li>
|
||||||
|
</ul>
|
||||||
|
</div>
|
||||||
|
<div>
|
||||||
|
<h4 class="font-semibold text-slate-900 mb-4">Connect</h4>
|
||||||
|
<ul class="space-y-2 text-sm">
|
||||||
|
<li><a href="mailto:prakulhiremath03@gmail.com" class="text-blue-600 hover:underline">Email</a></li>
|
||||||
|
<li><a href="https://github.com/prakulhiremath" class="text-blue-600 hover:underline" target="_blank" rel="noopener">GitHub Profile</a></li>
|
||||||
|
<li><a href="https://arxiv.org/search/?query=hiremath&searchtype=author" class="text-blue-600 hover:underline" target="_blank" rel="noopener">More Papers</a></li>
|
||||||
|
</ul>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="border-t border-slate-200 pt-8">
|
||||||
|
<p class="text-sm text-slate-600 text-center mb-4">
|
||||||
|
<strong>LOB Latent Regimes</strong> — Early Detection of Structural Market Instability
|
||||||
|
</p>
|
||||||
|
<p class="text-xs text-slate-500 text-center">
|
||||||
|
MIT License · Reproducible Research Pipeline · <a href="https://github.com/prakulhiremath/LOB-Latent-Regimes" class="text-blue-600 hover:underline" target="_blank" rel="noopener">Open Source</a>
|
||||||
|
</p>
|
||||||
|
<p class="text-xs text-slate-500 text-center mt-4">
|
||||||
|
<em>"If the signal fires before the storm — it worked."</em>
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<!-- Scripts -->
|
||||||
|
<script>
|
||||||
|
// Highlight code blocks
|
||||||
|
document.querySelectorAll('.code-block pre code').forEach((block) => {
|
||||||
|
hljs.highlightElement(block);
|
||||||
|
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|
||||||
|
|
||||||
|
// Smooth scroll for anchor links
|
||||||
|
document.querySelectorAll('a[href^="#"]').forEach(anchor => {
|
||||||
|
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|
||||||
|
e.preventDefault();
|
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|
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|
||||||
|
if (target) {
|
||||||
|
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|
||||||
|
}
|
||||||
|
});
|
||||||
|
});
|
||||||
|
|
||||||
|
// Fade in on load
|
||||||
|
window.addEventListener('load', () => {
|
||||||
|
document.body.style.opacity = '1';
|
||||||
|
});
|
||||||
|
</script>
|
||||||
|
</body>
|
||||||
|
</html>
|
||||||
Reference in New Issue
Block a user