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Limit Order Books (Hardcover)
Loot Price: R1,402
Discovery Miles 14 020
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Limit Order Books (Hardcover)
Series: Physics of Society: Econophysics and Sociophysics
Expected to ship within 12 - 17 working days
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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.
General
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