19 lines
1.1 KiB
Markdown
19 lines
1.1 KiB
Markdown
## Results Note
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The reported results are generated using a controlled synthetic limit order book (LOB) environment with a causal regime structure.
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Key points:
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- The data includes a latent build-up regime preceding observable stress with a delayed transition.
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- Evaluation is performed using lead-time (Δ = σ − τ), measuring how early a signal occurs relative to stress.
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- Precision corresponds to the fraction of detections that occur before stress (early detection rate).
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- Coverage measures the fraction of stress events that are successfully detected early.
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The proposed method prioritizes **early and reliable detection** over exhaustive coverage. As a result:
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- Lead-times are strictly positive.
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- Precision is high (often 100%).
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- Coverage is moderate, reflecting a deliberate trade-off between early detection and signal frequency.
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Baseline methods (imbalance and volatility) achieve higher coverage but produce negative lead-times, indicating reactive behavior.
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All results are reproducible via the provided pipeline and reflect the designed causal structure of the environment.
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