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Do LLMs Understand Limit Order Book Dynamics?

This story is from 2026-08-26. It is preserved in the archive; the latest stories are on the live feed.

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 LLM's implicit world model fails to learn the state of the LOB. This deficiency leads…

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  1. 2026-08-26 04:00 · arXiv cs.AI
    Do LLMs Understand Limit Order Book Dynamics?

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