Microstructure Radar — 23 Oct 2026

Weekly Working Paper Digest - Market Micro Structure/Retail Trading · Oct 24, 2026 · 4m

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Weekly briefing of 5 new working papers from Microstructure Radar (2026-10-23).

1. Understanding the Inner Workings of a State-Space Foundation Model for Limit Order Books — Valentin Mohl, Alexandre Bismuth, Aramis Marti-Shahandeh, George Nigmatulin, Kang Li, Stefan Zohren, Jakob Foerster, Mihai Cucuringu, Anisoara Calinescu

https://arxiv.org/abs/2610.28753v1

2. Market Impact Estimation via Causal Foundation Models — Dennis Thumm, Ying Chen

https://doi.org/10.48550/arxiv.2610.12537

3. When…