智能体限价订单簿：相变与市场冲击
Agentic Limit Order Books: Phase Transitions and Market Impact
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中文总结 AI 辅助
本研究通过强化学习智能体构建限价订单簿模型，揭示订单流相变临界点及市场冲击对经典平方根规律的偏离，提出耗散、平衡与非耗散三种新制度。
中文摘要 AI 辅助
我们研究了完全由自主强化学习智能体交易者构成的限价订单簿（LOBs）中涌现的系统性宏观动力学。通过在微观订单匹配引擎中形式化智能体交互，我们考察了两个基本的定量现象：订单流制度转变中的平衡相变，以及市场冲击的结构动力学。我们证明，智能体限价订单簿展现出清晰的相边界，将有序的价格发现与超波动级联状态区分开来，这些相边界由智能体数量和可观测市场深度的临界阈值控制。此外，我们证明，在智能体流动性供给下，市场冲击偏离经典的平方根动力学，在非线性反馈回路下表现出不同的耗散、平衡和非耗散制度。
英文摘要
We investigate the systemic macroscopic dynamics emerging from Limit Order Books (LOBs) populated exclusively by autonomous reinforcement-learning agentic traders. By formalizing agent interactions within a microscopic order-matching engine, we examine two fundamental quantitative phenomena: equilibrium phase transitions in order flow regime shifts, and the structural dynamics of market impact. We show that agentic LOBs exhibit distinct phase boundaries separating orderly price discovery from hyper-volatile cascade states, governed by critical thresholds in the number of agents and observable market depth. Furthermore, we demonstrate that market impact under agentic liquidity provision deviates from classical square-root dynamics, exhibiting distinct dissipative, balanced, and non-dissipative regimes under non-linear feedback loops.
