arXiv 论文：全强化学习智能体限价订单簿的相变与市场冲击研究
Agentic Limit Order Books: Phase Transitions and Market Impact
把整个限价订单簿换成强化学习智能体，结果出现了相变，市场冲击也不再符合平方根定律，做量化的人可以看看。
这篇 arXiv 论文构建了一个完全由自主强化学习智能体交易者组成的限价订单簿（LOB）微观撮合引擎。研究发现智能体订单流存在清晰的相变边界，由智能体数量和可观测市场深度的临界阈值决定，越过阈值后价格发现会转入剧烈级联波动状态。论文还证明智能体流动性提供下的市场冲击偏离经典的平方根动力学，呈现耗散、均衡和非耗散三种不同区域。
Agentic Limit Order Books: Phase Transitions and Market Impact
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.
