M3：用于市场微观结构动态的状态-事件生成基础模型
M3: A State-Event Generative Foundation Model for Market Microstructure Dynamics
- Academy of Mathematics and Systems Science, Chinese Academy of Sciences（中国科学院数学与系统科学研究院）
- Zhongguancun Academy（中关村学院）
- University of Chinese Academy of Sciences（中国科学院大学）
- Zhongguancun Institute of Artificial Intelligence（中关村人工智能研究院）
- IIIS, Tsinghua University（清华大学智能产业研究院）
机构由 AI 辅助整理，请以论文原文为准。
AI总结：
针对现有金融生成模型忽略订单流与流动性动态交互的问题，提出M3状态-事件生成基础模型，经大规模订单级股票数据训练后可生成订单流轨迹，复现市场程式化事实，支持预测等反事实市场模拟应用。
AI中文摘要：
市场微观结构模拟旨在建模电子金融市场中流动性、价格与订单流的演变。由于市场数据仅呈现一条已实现轨迹，诸多重要问题本质上是反事实的，需依赖现实的轨迹级模拟。然而，现有金融生成模型常孤立地建模订单事件与市场状态（如订单簿LOB），忽略了市场微观结构中订单流与流动性的动态交互。我们提出M3（Market Microstructure Model，市场微观结构模型），这是一种用于市场微观结构动态的状态-事件生成基础模型。M3学习生成未来订单流轨迹，同时考虑订单事件与限价订单簿流动性的动态交互。经大规模订单级真实股票市场数据训练后，M3表现出可预测的缩放行为，复现了关键市场程式化事实，并支持实用的基于模拟的应用，包括预测、压力测试与市场冲击分析。这些结果表明，该方法为微观结构层面的反事实市场模拟提供了可扩展的基础模型范式。
英文摘要：
Market microstructure simulation aims to model how liquidity, prices, and order flow evolve in electronic financial markets. Since market data reveal only one realized trajectory, many important questions are inherently counterfactual and require realistic trajectory-level simulation. Existing financial generative models, however, often model order events and market states, such as the LOB, in isolation, overlooking the dynamic interaction between order flow and liquidity in market microstructure. We propose the \textbf{M3} (\underline{M}arket \underline{M}icrostructure \underline{M}odel), a state-event generative foundation model for market microstructure dynamics. \textbf{M3} learns to generate future order-flow trajectories, while accounting for the evolving interaction between order events and limit-order-book liquidity. Trained on large-scale order-level real stock market data, \textbf{M3} exhibits predictable scaling behavior, reproduces key market stylized facts, and enables practical simulation-based applications including forecasting, stress testing, and market-impact analysis. These results suggest a scalable foundation-model paradigm for counterfactual market simulation at the microstructure level.
