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Openai/69231819-359c-8007-85e5-e9b0981ed9f1
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==== 1. The order book becomes sparse or incoherent faster than models can update ==== Flash crashes arenβt smooth declines. They involve: * sudden liquidity withdrawal * simultaneous cancellation of thousands of quotes * no one taking the other side * market makers backing off together When the order book collapses, all the signals used in microstructure prediction stop being statistically stable. This is like trying to steer a car when the wheels suddenly detach.
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