Limit order books

  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},
  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… 
Unraveling Limit Order Books Using Just Bid/Ask Prices
How much of the structure of a Limit Order Book (LOB) by only observing the bid/ask price dynamics? In this paper we provide a model which, surprisingly, allows us to recover with reasonable
Quasi-centralized limit order books
A semi-parametric model of order flow and market state in a QCLOB on a single trading day is proposed, which provides similar performance to that of parametric curve-fitting techniques, while being simpler to compute and faster to implement.
Stochastic Price Dynamics Implied By the Limit Order Book
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and
Depth Characteristics for the Electronic Futures Limit Order Book
Prior literature provides limited information on the depth characteristics of futures markets, especially for U.S. exchanges, due to the lack of historical depth data from floor trading. A
The Information Content of the Limit Order Book
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A limit order book model for latency arbitrage
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can preempt the slower investor, we show that this
A dynamic model of the limit order book
We consider an equilibrium model of the Limit Order Book in a stock market, where a large number of competing agents post "buy" or "sell" orders. For the "one-shot" game, it is shown that the two
Order-book modelling and market making strategies
It is found that incorporating some simple non-Markovian features in the limit order book greatly improves the performances of market making strategies in a realistic context.
A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
This work analyzes a tractable model of a limit order book on short time scales, and establishes the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds.
Hydrodynamic Limit of Order Book Dynamics
In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the


Order aggressiveness in limit order book markets
Is the Electronic Open Limit Order Book Inevitable
Under fairly general conditions, this article derives the equilibrium price schedule determined by the bids and offers in an open limit order book. The analysis shows that the order book has a
Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market
This article presents a new methodology for testing economic restrictions on the price schedules offered in a limit order book that are based on (i) break-even conditions for marginal limit orders
Price Dynamics in Limit Order Markets
This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the state of the limit order book. Each trader knows that
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the
Statistical properties of stock order books: empirical results and models
Abstract We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most
Order Aggressiveness
This study analyzes the information content of the limit order book in a pure order-driven market. The objective is twofold. First, we analyze how the state of the limit order book affects the trader
Liquidity Provision with Limit Orders and a Strategic Specialist
This article presents a microstructure model of liquidity provision in which a specialist with market power competes against a competitive limit order book. General solutions, comparative statics and
Pro-Rata Matching and One-Tick Futures Markets
We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four