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q-fin.RM2025
Forecasting Liquidity Withdraw with Machine Learning Models
Haochuan, Wang
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging fr…
cs.LG2025
Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer
Haochuan Wang
Cryptocurrency price dynamics are driven largely by microstructural supply demand imbalances in the limit order book (LOB), yet the highly noisy nature of LOB data complicates the…
econ.GN2025
Heterogeneous Trader Responses to Macroeconomic Surprises: Simulating Order Flow Dynamics
Haochuan Wang
Understanding how market participants react to shocks like scheduled macroeconomic news is crucial for both traders and policymakers. We develop a calibrated data generation proces…