The Limit Order Book Recreation Model (LOBRM): An Extended Analysis

  title={The Limit Order Book Recreation Model (LOBRM): An Extended Analysis},
  author={Zijian Shi and J. Cartlidge},
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider application. The LOB recreation model (LOBRM) was recently proposed to bridge this gap by synthesizing the LOB from trades and quotes (TAQ) data. However, in the original LOBRM study, there were two limitations: (1) experiments were conducted on a relatively small… Expand

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