Market Microstructure — Mindmap¶

Visual overview of the microstructure cluster in this wiki: 10 papers, 7 core concepts, 4 methods, and the cross-cutting themes that link them.

1. Concept mindmap (hierarchical)¶

The five-minute mental model of the domain, rooted at market microstructure.

mindmap
  root((Market
Microstructure))
    Limit Order Book
      Level 1 depth
      Level 2 depth
      Tick-size regimes
        Small-tick
        Medium-tick
        Large-tick
      Queue dynamics
      Simulation
        Zero-intelligence
        Queue-Reactive
        Extended QR w/ impact feedback
    Order Flow
      Event-based OFI
        Cont-Kukanov-Stoikov definition
        Linear price impact
        Square-root law via scaling
      Trade-based OFI
        Anantha-Jain definition
        Hawkes cross-excitation
      GOFI log-GOFI
        Multi-tick absorption
        Log stationarisation
      OBI regimes
        Discretised
        Filtered by parent orders
    Price Impact
      Temporary vs permanent
      Depth-dependent slope
      Decay kernels
        Power-law
        Exponential
      Microprice
    Adverse Selection
      Glosten-Milgrom spread
      VPIN / PIN
      Loss-Versus-Rebalancing (AMMs)
      Flash crashes
    Optimal Execution
      TWAP / VWAP static
      Almgren-Chriss frontier
      MPC / approximate DP
      RL-based
    Market Making
      LOB: Avellaneda-Stoikov
      LOB: Guéant-Lehalle
      AMM: CFMM bonding curves
      Inventory risk

2. Paper → concept map (clickable flowchart)¶

Typed relationships between the 10 wiki'd papers and the concepts/methods they contribute to. Click any node to jump to its page. Arrows:

solid = paper introduces or centrally defines
dotted = paper uses / applies / extends

flowchart LR
    %% Papers (left cluster)
    subgraph PAPERS["Papers"]
        CKS["Cont-Kukanov-Stoikov 2010
Price Impact of
Order Book Events"]
        GOFI["Su et al. 2021
Generalised OFI
(CSI 500)"]
        DLOB["Briola et al. 2024
Deep LOB Forecasting
(LOBFrame)"]
        HFOFI["Anantha-Jain 2024
Hawkes OFI Forecast"]
        FILT["Anantha-Jain-Maiti 2025
Order-Flow Filtration"]
        CRYPTO["Bieganowski-Slepaczuk 2026
Explainable Crypto
Microstructure"]
        RGAP["Noble-Rosenbaum-Souilmi 2026
Reality Gap
LOB Simulation"]
        MPC["McAuliffe et al. 2026
MPC for Trade Execution"]
        CFMM["Risk-Tung-Wang 2026
CFMM Liquidity
Provision Pricing"]
        TX["Vaswani et al. 2017
Attention Is All You Need"]
    end

    %% Concepts (middle cluster)
    subgraph CONCEPTS["Concepts"]
        OFI[Order Flow
Imbalance]
        PI[Price Impact]
        LOB[Limit Order Book]
        AS[Adverse Selection]
        OE[Optimal Execution]
        MM[Market Making]
        TF[Transformer
Architecture]
    end

    %% Methods (right cluster)
    subgraph METHODS["Methods"]
        HAWKES[Hawkes Process]
        QR[Queue-Reactive Model]
        SHAP[SHAP Values]
        MHA[Multi-Head Attention]
    end

    %% Solid = introduces / centrally defines
    CKS ==> OFI
    CKS ==> PI
    GOFI ==> OFI
    HFOFI ==> HAWKES
    CRYPTO ==> SHAP
    RGAP ==> QR
    MPC ==> OE
    CFMM ==> MM
    TX ==> TF
    TX ==> MHA

    %% Dotted = uses / applies / extends
    GOFI -.-> PI
    DLOB -.-> LOB
    DLOB -.-> TF
    HFOFI -.-> OFI
    FILT -.-> OFI
    FILT -.-> HAWKES
    FILT -.-> AS
    CRYPTO -.-> OFI
    CRYPTO -.-> AS
    CRYPTO -.-> LOB
    RGAP -.-> LOB
    RGAP -.-> PI
    RGAP -.-> OFI
    MPC -.-> PI
    CFMM -.-> MM
    CFMM -.-> AS

    %% Clickable nodes
    click CKS "../../papers/price-impact-order-book-events/" "Cont-Kukanov-Stoikov"
    click GOFI "../../papers/price-impact-generalized-ofi/" "Generalised OFI"
    click DLOB "../../papers/deep-lob-forecasting/" "Deep LOB Forecasting"
    click HFOFI "../../papers/forecasting-high-frequency-ofi/" "Hawkes OFI forecast"
    click FILT "../../papers/order-flow-filtration/" "Order-Flow Filtration"
    click CRYPTO "../../papers/explainable-crypto-microstructure/" "Explainable Crypto Microstructure"
    click RGAP "../../papers/reality-gap-lob-simulation/" "Reality Gap LOB Simulation"
    click MPC "../../papers/mpc-trade-execution/" "MPC for Trade Execution"
    click CFMM "../../papers/cfmm-liquidity-provision-pricing/" "CFMM Liquidity Provision Pricing"
    click TX "../../papers/attention-is-all-you-need/" "Attention Is All You Need"
    click OFI "../../concepts/order-flow-imbalance/" "Order Flow Imbalance"
    click PI "../../concepts/price-impact/" "Price Impact"
    click LOB "../../concepts/limit-order-book/" "Limit Order Book"
    click AS "../../concepts/adverse-selection/" "Adverse Selection"
    click OE "../../concepts/optimal-execution/" "Optimal Execution"
    click MM "../../concepts/market-making/" "Market Making"
    click TF "../../concepts/transformer-architecture/" "Transformer Architecture"
    click HAWKES "../../methods/hawkes-process/" "Hawkes Process"
    click QR "../../methods/queue-reactive-model/" "Queue-Reactive Model"
    click SHAP "../../methods/shap-values/" "SHAP Values"
    click MHA "../../methods/multi-head-attention/" "Multi-Head Attention"

    %% styling
    classDef paper fill:#fff3cd,stroke:#856404,color:#000,cursor:pointer
    classDef concept fill:#d1ecf1,stroke:#0c5460,color:#000,cursor:pointer
    classDef method fill:#d4edda,stroke:#155724,color:#000,cursor:pointer
    class CKS,GOFI,DLOB,HFOFI,FILT,CRYPTO,RGAP,MPC,CFMM,TX paper
    class OFI,PI,LOB,AS,OE,MM,TF concept
    class HAWKES,QR,SHAP,MHA method

3. Cross-cutting themes¶

Threads that link multiple papers at a conceptual level:

flowchart TD
    T1["Tick-size regime
predicts signal strength"]
    T2["Two OFI definitions
event-based vs trade-based"]
    T3["Accuracy ≠ tradability
execution gap"]
    T4["Adverse selection
as universal drag"]
    T5["Simulator fidelity
matters for backtests"]

    T1 --> DLOB["Briola 2024:
large-tick most forecastable"]
    T1 --> CRYPTO["Bieganowski 2026:
tick-size modulates OBI SHAP"]
    T1 --> RGAP["Noble 2026:
method scoped to large-tick"]

    T2 --> CKS["CKS 2010:
event-based OFI on NYSE"]
    T2 --> HFOFI["Anantha-Jain 2024:
trade-based OFI on NSE"]

    T3 --> DLOB2["Briola 2024:
operational metric"]
    T3 --> CRYPTO2["Bieganowski 2026:
taker backtest vs buy-and-hold"]
    T3 --> MPC2["McAuliffe 2026:
schedule shortfall and slippage"]

    T4 --> CRYPTO3["Bieganowski 2026:
flash-crash taker collapse"]
    T4 --> FILT2["Filtration 2025:
parent-order filter"]
    T4 --> CFMM2["CFMM 2026:
Loss-Versus-Rebalancing"]

    T5 --> RGAP2["Noble 2026:
impact feedback kernel"]
    T5 --> MPC3["McAuliffe 2026:
L3 simulator"]

    click DLOB "../../papers/deep-lob-forecasting/" "Deep LOB Forecasting"
    click CRYPTO "../../papers/explainable-crypto-microstructure/" "Explainable Crypto Microstructure"
    click CRYPTO2 "../../papers/explainable-crypto-microstructure/" "Explainable Crypto Microstructure"
    click CRYPTO3 "../../papers/explainable-crypto-microstructure/" "Explainable Crypto Microstructure"
    click RGAP "../../papers/reality-gap-lob-simulation/" "Reality Gap LOB Simulation"
    click RGAP2 "../../papers/reality-gap-lob-simulation/" "Reality Gap LOB Simulation"
    click CKS "../../papers/price-impact-order-book-events/" "Cont-Kukanov-Stoikov"
    click HFOFI "../../papers/forecasting-high-frequency-ofi/" "Hawkes OFI forecast"
    click DLOB2 "../../papers/deep-lob-forecasting/" "Deep LOB Forecasting"
    click MPC2 "../../papers/mpc-trade-execution/" "MPC for Trade Execution"
    click MPC3 "../../papers/mpc-trade-execution/" "MPC for Trade Execution"
    click FILT2 "../../papers/order-flow-filtration/" "Order-Flow Filtration"
    click CFMM2 "../../papers/cfmm-liquidity-provision-pricing/" "CFMM Liquidity Provision Pricing"

    classDef theme fill:#f8d7da,stroke:#721c24,color:#000,font-weight:bold
    classDef paper fill:#fff3cd,stroke:#856404,color:#000,cursor:pointer
    class T1,T2,T3,T4,T5 theme
    class DLOB,CRYPTO,CRYPTO2,CRYPTO3,RGAP,RGAP2,CKS,HFOFI,DLOB2,MPC2,MPC3,FILT2,CFMM2 paper

4. How to read this¶

Open in Obsidian — all three diagrams render natively via the built-in Mermaid support.
Open in a MkDocs Material build — renders identically once mkdocs-mermaid2-plugin is installed (see the site/ config in CLAUDE.md).
For a navigable graph rather than a static render, use Obsidian's built-in graph view (Ctrl+G) on this vault — it will auto-generate a similar picture from the wikilinks in every page's frontmatter.

5. JSON triples (for programmatic use)¶

A subset of the key relationships, machine-readable:

[
  {"source": "papers/price-impact-order-book-events", "relation": "introduces", "target": "concepts/order-flow-imbalance"},
  {"source": "papers/price-impact-order-book-events", "relation": "introduces", "target": "concepts/price-impact"},
  {"source": "papers/price-impact-generalized-ofi", "relation": "extends", "target": "concepts/order-flow-imbalance"},
  {"source": "papers/deep-lob-forecasting", "relation": "establishes", "target": "tick-size-taxonomy"},
  {"source": "papers/forecasting-high-frequency-ofi", "relation": "uses", "target": "methods/hawkes-process"},
  {"source": "papers/order-flow-filtration", "relation": "uses", "target": "methods/hawkes-process"},
  {"source": "papers/explainable-crypto-microstructure", "relation": "uses", "target": "methods/shap-values"},
  {"source": "papers/explainable-crypto-microstructure", "relation": "validates", "target": "concepts/adverse-selection"},
  {"source": "papers/reality-gap-lob-simulation", "relation": "extends", "target": "methods/queue-reactive-model"},
  {"source": "papers/mpc-trade-execution", "relation": "advances", "target": "concepts/optimal-execution"},
  {"source": "papers/cfmm-liquidity-provision-pricing", "relation": "formalises", "target": "concepts/market-making"},
  {"source": "concepts/order-flow-imbalance", "relation": "drives", "target": "concepts/price-impact"},
  {"source": "concepts/adverse-selection", "relation": "explains", "target": "concepts/market-making"},
  {"source": "concepts/limit-order-book", "relation": "produces", "target": "concepts/order-flow-imbalance"}
]

6. Snapshot stats¶

Metric	Count
Papers in microstructure cluster	10
Core concepts	7
Methods	4
Entities	3
Cross-cutting themes	5

Next time this mindmap is regenerated, the papers_covered field in the frontmatter should be updated.