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MicrostructureKilled
Predict the break from a fragile order book
Fails on new data
the score couldn’t tell fragile from stable once shown fresh data
In plain English
A score meant to flag a fragile order book worked on old data but couldn’t tell fragile from stable when shown fresh data.
What it needed
separate fragile from stable states out-of-sample
→
What it got
separation tests failed on clean data
Why it's dead
The fragility score looked like it flagged unstable book states in-sample. On clean out-of-sample data the separation collapsed, it couldn't tell fragile from stable when it mattered.
The detail
Order-book fragility scorer. Separation tests (fragile vs stable states) failed on clean out-of-sample data, the in-sample structure didn't generalise. Retired in favour of better-powered directions.
- Kill date
- 2026-03-12
- Sample
- fresh-data test
- Method
- Pre-registered
- Verdict
- no OOS separation
Pre-registered before the data. Judged on a criterion locked in advance. Published whatever the result.
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