Agentic Limit Order Books: Phase Transitions and Market Impact

Abstract: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.

Trading and Market Microstructure (q-fin.TR); Artificial Intelligence (cs.AI); Computational Finance (q-fin.CP)

arXiv:2609.31260 [q-fin.TR]

(or arXiv:2609.31260v1 [q-fin.TR] for this version)

https://doi.org/10.48550/arXiv.2609.31260 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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