What Do Foundation Models for Market Microstructure Learn? A Controlled Study with Synthetic Limit Order Books

arXiv:2610.20104 · cs.LG · Submitted 2026-10-14 · Read on arXiv

cs.LG

Submitted: 2026-10-14

Updated: 2026-10-14

Comments: Accepted at ACM ICAIF 2026

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

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

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