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News/When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books
arxiv
PublishedApril 27, 2026 at 4:00 AM
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When Quotes Crumble: Detecting Transient Mechanical Liquidity Erosion in Limit Order Books

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arXiv:2604.21993v1 Announce Type: new Abstract: We study the detection of transient liquidity erosion ("crumbling quotes") in electronic limit order books, where observable quote deterioration may reflect either mechanical liquidity withdrawal or informational repricing. Using the ABIDES agent-based

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