Limit Order Books

@inproceedings{Abergel2016LimitOB,
  title={Limit Order Books},
  author={Fr{\~A}©d{\~A}©ric Abergel and M. Anane and A. Chakraborti and A. Jedidi and I. Toke},
  year={2016}
}
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… Expand
15 Citations

Topics from this paper

Instantaneous order impact and high-frequency strategy optimization in limit order books
  • 4
  • PDF
Queue-reactive Hawkes models for the order flow
  • 11
  • PDF
Marked point processes and intensity ratios for limit order book modeling
  • Highly Influenced
  • PDF
A BEHAVIORAL MODEL OF INVESTOR SENTIMENT IN LIMIT ORDER MARKETS
  • 2
  • Highly Influenced
  • PDF
Power laws in market capitalization during the dot-com and Shanghai bubble periods
  • 3
  • PDF
Incorporating signals into optimal trading
  • 21
  • PDF
Multifractal analysis of financial markets: a review.
  • 64
  • PDF
...
1
2
...

References

SHOWING 1-10 OF 135 REFERENCES
Price Jump Prediction in Limit Order Book
  • 34
  • PDF
A Stochastic Model for Order Book Dynamics
  • 418
  • PDF
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
  • 1,078
  • Highly Influential
A Law of Large Numbers for Limit Order Books
  • 22
  • PDF
Statistical theory of the continuous double auction
  • 342
  • Highly Influential
  • PDF
Price fluctuations from the order book perspective - empirical facts and a simple model
  • 153
  • Highly Influential
  • PDF
More Statistical Properties of Order Books and Price Impact
  • 278
  • PDF
...
1
2
3
4
5
...