LLMs trained on synthetic limit order book data generate valid LOB event sequences but fail to learn the LOB state, causing biased estimates and spurious predictability in forecasting future LOB events.
Read the original at arxiv.org→arXiv:2608.23706v1 Announce Type: new Abstract: A large language model (LLM) trained on synthetic limit order book (LOB) data achieves near perfect scores in generating valid sequences of LOB events. However, the...
Original headline: "Do LLMs Understand Limit Order Book Dynamics?"
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- Aug 26, 04:00 UTC arXiv cs.AI lead source Do LLMs Understand Limit Order Book Dynamics?