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.

Author: Frédéric Abergel, Marouane Anane, Anirban Chakraborti
Publisher: Cambridge University Press
Published: 05/09/2016
Pages: 238
Binding Type: Hardcover
Weight: 1.44lbs
Size: 10.06h x 7.49w x 0.72d
ISBN: 9781107163980

About the Author
Anane, Marouane: - Marouane Anane is a Quantitative Analyst at BNP Paribas, Paris. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. His research interests include market-making strategies, price dynamics and automated technical analysis.Chakraborti, Anirban: - Anirban Chakraborti is Professor and Dean of the School of Computational and Integrative Sciences, Jawaharlal Nehru University. He holds a Ph.D. in Physics from the Saha Institute of Nuclear Physics. He has held several academic and research positions at the Saha Institute of Nuclear Physics, the Helsinki University of Technology, Brookhaven National Laboratory, Banaras Hindu University and the École Centrale Paris. In 2009, he received the Young Scientist Medal from the Indian National Science Academy. His areas of research include econophysics, statistical physics and quantum physics.Jedidi, Aymen: - Aymen Jedidi is a Quantitative Analyst at HSBC Bank, Paris. He holds a Ph.D. in Applied Mathematics from the École Centrale Paris. His research interests are quantitative risk management and stochastic order book modelling.
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