Simulating and Analyzing Order Book Data: The Queue-Reactive Model

Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum · 2015 · Journal of the American Statistical Association

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Order arrival rates depend on current queue sizes. A realistic, calibratable LOB simulator for backtesting passive strategies.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: L2 depth (every update) Set what data you have
Themes: Order book models Backtesting
Assets: Equities
Market: Europe

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Cite

@article{huang2015simulating,
  author = {Huang, Weibing and Lehalle, Charles-Albert and Rosenbaum, Mathieu},
  title = {{Simulating and Analyzing Order Book Data: The Queue-Reactive Model}},
  journal = {Journal of the American Statistical Association},
  year = {2015},
  doi = {10.1080/01621459.2014.982278}
}

Huang, W., Lehalle, C.-A., & Rosenbaum, M. (2015). Simulating and Analyzing Order Book Data: The Queue-Reactive Model. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.2014.982278