{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T20:11:33Z","timestamp":1790712693370,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Market-regime models typically assume a finite set of discrete latent states. We examine whether high frequency limit-order-book dynamics exhibit distinct regime separation or apparent regimes result from discretising an underlying continuum of market conditions. We analyse four years of deep limit-order book data for EURO STOXX 50 index futures across 987 clean trading days from 2022 to 2025, using 30, 45 and 60-second aggregation windows. Market states are represented by 15 \u00d7 15 symmetric positive definite covariance matrices constructed from price, liquidity, depth, book-shape and order-flow variables and analysed under Log-Euclidean and affine-invariant geometries; the resulting state cloud has an effective dimension of approximately 1.4. A causal anomaly layer filters statistical, calendar and rollover contamination, while label-free economic validation evaluates market-state separation independently of volatility-based proxy labels. A 17-method zoo spanning conventional and Riemannian representations, reinforced by full-cloud geometric certificates, consistently favours a continuum over a discrete regime structure. A dominant latent coordinate captures between 83.66% and 85.27% of variation in the covariance-state geometry and tracks VSTOXX without regime labels. This geometric stress axis remains stable across years, although its average level shifts with market conditions, indicating that conventional regimes are coarse quantisations of the underlying continuum. A divisive hierarchy spanning macro, macro-subregime, micro and micro-subregime tiers is evaluated using expanding-year walk-forward tests. Out-of-sample performance is strongest at the macro tier, while finer tiers fail to generalise. Continuous fine-scale information remains predictive; its discretisation causes the performance loss. The stress dial is highly persistent, yet deviations gradually return toward their typical level, halving within approximately 5-15 minutes. Forecasting performance peaks near ten minutes, reaching a maximum pooled R 2 OOS of 0.7483. Although incremental predictive value over volatility persistence strengthens toward one hour, it provides no improvement over HAR at the next-day horizon. Overall, the latent stress coordinate defines a stable, low-dimensional geometric continuum that captures market stress and its predictive dynamics. Repository: github.com\/anjalitwt009\/Latent-Continuum-of-Regimes-in-Limit-Order-Book-Dynamics.<\/jats:p>","DOI":"10.2139\/ssrn.7539478","type":"posted-content","created":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T19:39:41Z","timestamp":1790710781000},"source":"Crossref","is-referenced-by-count":0,"title":["Latent Continuum of Regimes in Limit Order Book Dynamics"],"prefix":"10.2139","author":[{"given":"Anjali","family":"Thawait","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T19:39:41Z","timestamp":1790710781000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7539478"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7539478","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}