Limit Order Books

Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke, "Limit Order Books"
English | ISBN: 1107163986 | 2016 | 241 pages | PDF | 5 MB

A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

Alternate Link for Limit Order Books.rar When above links are dead

Hello Respective Visitor!

Please Login or Create a FREE Account to gain accesss to hidden contents.


Would you like to leave your comment? Please Login to your account to leave comments. Don't have an account? You can create a free account now.