# β‘οΈ Latent Micro-Regime Early Detection in LOBs
)
)
)
)
---
## πͺ The Thesis: Stress is not a Bolt from the Blue
Standard market signals like **Volatility** and **Imbalance** are *post-mortem* indicatorsβthey 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."**
---
## π§ 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 |
| :--- | :--- | :--- | :--- |
| **π’ 0** | **Stable** | Equilibrium liquidity | High |
| **π‘ 1** | **Latent Build-up** | **Hidden deterioration / Depth erosion** | **Invisible (The "Ghost" Phase)** |
| **π΄ 2** | **Stress** | Observable Dislocation / Crash | High (Reactive) |
### π 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.
---
## π 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 |
| :--- | :--- | :--- | :--- |
| **π₯ Adaptive Trigger** | **+18.62** | **100%** | **52.6%** |
| 𧬠Model-Only | +14.95 | 100% | 43.2% |
| π‘ Multi-Trigger | +13.15 | 100% | 28.1% |
| π Imbalance | -24.84 | 54.9% | 78.7% |
| π Volatility | -32.02 | 45.5% | 43.3% |
---
## π Project Anatomy
```bash
.
βββ π§ͺ experiments/ # Evolutionary stages v1 β v7 (The Lab)
βββ π notebooks/ # Final production-grade experiment notebook
βββ π results/ # High-fidelity figures & summary.txt
βββ π paper/ # The theoretical foundation (PDF)
βββ π¨ assets/ # Dynamic visualization & GIFs
βββ π README.md # You are here.
```
---
## β‘ 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
```
---
## π 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.
---
## π 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 βοΈ, π, and a relentless pursuit of Alpha.
License: MIT