Limit order books

@article{Gould2010LimitOB,
  title={Limit order books},
  author={Martin D. Gould and M. A. Porter and Stacy Williams and Mark McDonald and Daniel J. Fenn and Sam D. Howison},
  journal={Quantitative Finance},
  year={2010},
  volume={13},
  pages={1709 - 1742}
}
Abstract Limit order books (LOBs) match buyers and sellers in more than half of the world’s financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the findings reported by statistical analyses of historical LOB data and discuss how several LOB models provide insight into certain aspects of the mechanism. We also illustrate that many such models poorly resemble real LOBs and that several well-established… 

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