Limit Order Books

Frédéric Abergel author Marouane Anane author Anirban Chakraborti author Aymen Jedidi author Ioane Muni Toke author

Format:Hardback

Publisher:Cambridge University Press

Published:9th May '16

Currently unavailable, and unfortunately no date known when it will be back

Limit Order Books cover

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

Limit order books and order-driven markets form one of the main fields in market microstructure, an area which has triggered a considerable amount of interest amongst both researchers and market practitioners. This text is devoted to the statistical, mathematical and numerical aspects of limit order books.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.

ISBN: 9781107163980

Dimensions: 252mm x 189mm x 17mm

Weight: 650g

238 pages