Limit Order Books
By:Frédéric Abergel,Marouane Anane,Anirban Chakraborti,Aymen Jedidi,Ioane Muni Toke
Published on 2016-05-09 by Cambridge University Press
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.
This Book was ranked at 12 by Google Books for keyword physics core.
Book ID of Limit Order Books's Books is eHmLDgAAQBAJ, Book which was written byFrédéric Abergel,Marouane Anane,Anirban Chakraborti,Aymen Jedidi,Ioane Muni Tokehave ETAG "bcqM/CFdj0o"
Book which was published by Cambridge University Press since 2016-05-09 have ISBNs, ISBN 13 Code is 9781316870488 and ISBN 10 Code is 1316870480
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