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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 was claimed
A fragile order book predicts the break before it happens, so score the fragility and trade the break.
The bar it had to clear
separate fragile from stable states out-of-sample
What the data said
separation tests failed on clean data
Why it's dead
The fragility score looked like it flagged unstable book states in-sample (on the data it was built with). On clean out-of-sample data (data it had never seen) 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
- Documented kill
- Verdict
- no OOS separation
More from the ledger
Tested on the record and published in full, with the real numbers, whatever the result.
See all kills