M3: A State-Event Generative Foundation Model for Market Microstructure Dynamics

By Yanzhi Zhang, Yu Ma, Yilin Cheng, Jian Li, Yitong Duan

Published 2026-07-29

Everscope rating

1771.3

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: M3 (Market Microstructure Model). Problem types: Generative Modeling, Time Series Forecasting, Risk Management, Algorithmic Execution, Market Making, Density Estimation, Sequence-to-Sequence Learning.

arXiv:2608.19227 · Code · Paper rankings

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