[P] Comparing Mamba (SSM) vs. LSTM for Signal Recovery in Noisy Market Microstructure
Hi everyone, I’m a 2nd-year CS student. For my latest independent study, I wanted to see how State Space Models (Mamba) compare to LSTMs when dealing with high-entropy time series, specifically, finding hidden ‘Iceberg’ orders in a noisy limit order book. I built a ‘Frozen Chaos’ simulation engine to bench both architectures on signal efficiency and OOD resilience. Key Findings from Phase 1: ‘Fail-Fast’ Logic: In a ‘Pure Drain’ stress test (zero signal), the LSTM suffered from state-locking, […]