Limit order books

Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn, Sam D. Howison · 2013 · Quantitative Finance

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: L2 depth (every update) Set what data you have
Themes: Order book models
Assets: Equities
Market: Global

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Cite

@article{gould2013limit,
  author = {Gould, Martin D. and Porter, Mason A. and Williams, Stacy and McDonald, Mark and Fenn, Daniel J. and Howison, Sam D.},
  title = {{Limit order books}},
  journal = {Quantitative Finance},
  year = {2013},
  doi = {10.1080/14697688.2013.803148}
}

Gould, M. D., Porter, M. A., Williams, S., McDonald, M., Fenn, D. J., & Howison, S. D. (2013). Limit order books. Quantitative Finance. https://doi.org/10.1080/14697688.2013.803148