Market Impact Estimation via Causal Foundation Models

arXiv:2610.12537 · cs.LG, cs.CE, q-fin.TR · Submitted 2026-10-08 · Read on arXiv

cs.LG, cs.CE, q-fin.TR

Submitted: 2026-10-08

Updated: 2026-10-08

Code: https://github.com/thummd/causal-marketsimulator

Terminology

• Foundation Model — 1× in this paper · explained in 3 episodes
• Foundation Models — 1× in this paper · explained in 7 episodes

Sources

• Diffusive in plain sight: An inconspicuous law of market impact
• Generating realistic metaorders from public data
• TempoPFN: Synthetic Pre-training of Linear RNNs for Zero-shot Time Series Forecasting
• A unified theory of order flow, market impact, and volatility

Related papers

• Polynomial-Augmented Neural Networks (PANNs) with Weak Orthogonality Constraints for Enhanced Function and PDE Approximation
• AIRL-S: Unifying Reinforcement Learning and Search-Based Test-Time Scaling via Adversarial Inverse Reinforcement Learning
• Transformers as Bayesian In-Context Experimenters: Smoothness-Adaptive Efficient ATE Estimation
• Convergence issues in Relational Concept Analysis based on AOC-posets
• Beliefs Beyond Posteriors: The Predictive Cost of ELBO Binding
• Understanding Diffusion Models via Ratio-Based Function Approximation with SignReLU Networks