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Agentic Limit Order Books: Phase Transitions and Market Impact

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  • Jan Rosenzweig

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.

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  • Jan Rosenzweig, 2026. "Agentic Limit Order Books: Phase Transitions and Market Impact," Papers 2609.31260, arXiv.org.
    • Handle: RePEc:arx:papers:2609.31260
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