PRAKUL HIREMATHandGitHub
648769f671
Added comprehensive project documentation including architecture, performance metrics, and quick start instructions.
111 lines
4.4 KiB
Markdown
111 lines
4.4 KiB
Markdown
# ⚡️ Latent Micro-Regime Early Detection in LOBs
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<p align="center">
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<img src="assets/detection.gif" width="800" alt="Latent Detection Demo"/>
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</p>
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<p align="center">
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<img src="[https://img.shields.io/badge/Status-Cutting--Edge-brightgreen?style=for-the-badge](https://img.shields.io/badge/Status-Cutting--Edge-brightgreen?style=for-the-badge)" alt="Status"/>
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<img src="[https://img.shields.io/badge/Framework-HMM--Trigger-blueviolet?style=for-the-badge](https://img.shields.io/badge/Framework-HMM--Trigger-blueviolet?style=for-the-badge)" alt="Framework"/>
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<img src="[https://img.shields.io/badge/Hardware-NVIDIA%20T4%20%7C%20Apple%20M4-black?style=for-the-badge](https://img.shields.io/badge/Hardware-NVIDIA%20T4%20%7C%20Apple%20M4-black?style=for-the-badge)" alt="Hardware"/>
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<img src="[https://img.shields.io/badge/Precision-100%25-orange?style=for-the-badge](https://img.shields.io/badge/Precision-100%25-orange?style=for-the-badge)" alt="Precision"/>
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</p>
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---
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## 🌪 The Thesis: Stress is not a Bolt from the Blue
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Standard market signals like **Volatility** and **Imbalance** are *post-mortem* indicators—they tell you the ship is sinking while you're already underwater.
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This project proves that **liquidity instability has a "incubation period."** We capture the latent structural decay *before* the price cracks.
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> **"If you wait for the volatility spike, you've already lost. We detect the silence before the scream."**
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---
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## 🧠 The Architecture: Causal Delayed Transition
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We move beyond simple binary states. Our model architecture assumes a three-stage causal evolution of market failure:
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| State | Regime | Market Reality | Observability |
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| :--- | :--- | :--- | :--- |
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| **🟢 0** | **Stable** | Equilibrium liquidity | High |
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| **🟡 1** | **Latent Build-up** | **Hidden deterioration / Depth erosion** | **Invisible (The "Ghost" Phase)** |
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| **🔴 2** | **Stress** | Observable Dislocation / Crash | High (Reactive) |
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### 🛠 The "God-Mode" Detection Logic
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Our detector operates on a **MAX-trigger fusion** across high-dimensional channels:
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* **Probabilistic Instability:** HMM posterior entropy spikes.
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* **Temporal Drift:** Recursive analysis of spread & depth velocity.
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* **Structural Erosion:** Real-time order flow decay signals.
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* **Rising-Edge Trigger:** Precise identification of the *onset* of instability.
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---
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## 📊 Performance Matrix (The "Kill-The-Baselines" Table)
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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.
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| Method | Mean $\Delta$ (Lead-Time) | Precision | Coverage |
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| :--- | :--- | :--- | :--- |
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| **🔥 Adaptive Trigger** | **+18.62** | **100%** | **52.6%** |
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| 🧬 Model-Only | +14.95 | 100% | 43.2% |
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| 📡 Multi-Trigger | +13.15 | 100% | 28.1% |
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| 📉 Imbalance | -24.84 | 54.9% | 78.7% |
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| 📉 Volatility | -32.02 | 45.5% | 43.3% |
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---
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## 📂 Project Anatomy
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```bash
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.
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├── 🧪 experiments/ # Evolutionary stages v1 → v7 (The Lab)
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├── 📓 notebooks/ # Final production-grade experiment notebook
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├── 📈 results/ # High-fidelity figures & summary.txt
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├── 📄 paper/ # The theoretical foundation (PDF)
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├── 🎨 assets/ # Dynamic visualization & GIFs
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└── 📜 README.md # You are here.
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```
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---
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## ⚡ Quick Start (Reproduction Pipeline)
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Tested on **NVIDIA T4 (Colab)** and **Apple Silicon M4**. Results are 100% deterministic via seeded initialization.
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```bash
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# Clone the madness
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git clone https://github.com/your-repo/latent-lob-detection.git
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cd latent-lob-detection
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# Arm the environment
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pip install -r requirements.txt
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# Run the flagship pipeline
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python experiments/v7_final.py
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```
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---
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## 🏆 Key Contributions
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1. **Causal Latent Theory:** Formalized the $Regime 1 \rightarrow Regime 2$ transition delay.
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2. **Zero-False-Positive Logic:** 100% precision thresholding in the early-detection window.
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3. **The Trigger Fusion:** Combined entropy, drift, and flow into a single "Early-Warning" signal.
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4. **Positive Lead-Time:** Mathematically demonstrated dominance over reactive baselines.
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---
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## 📝 Citation
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```bibtex
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@article{lob_micro_regime_detection_2026,
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title={Early Detection of Latent Micro-Regimes in Limit Order Books},
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author={Hiremath, Prakul},
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year={2026}
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}
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```
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---
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<p align="center">
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Built with ☕️, 🐍, and a relentless pursuit of Alpha. <br/>
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<b>License: MIT</b>
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</p>
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