Stress event detection on Simulated Limit Order Books
1.4Lead-Time ΔBOCPD
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| BOCPD2026.04 | 1.4 | 39 | 68 | |
| CUSUM2026.04 | 2.1 | 43 | 72 | |
| Imbalance Baseline2026.04 | 4.2 | 56 | 83 | |
| Volatility Baseline2026.04 | 6.8 | 47 | 79 | |
| HMM Posterior Threshold2026.04 | 11.3 | 87 | 49 | |
| Multi-Trigger2026.04 | 16.1 | 99 | 61 | |
| Standard Trigger2026.04 | 17.4 | 97 | 48 | |
| Adaptive Trigger2026.04 | 18.6 | 100 | 54 |