Modelling and simulating the order book
Limit order books
The best single survey of LOB mechanics, stylized facts and models. Start here for anything order-book related.
Statistical properties of stock order books: empirical results and models
Limit order placement follows a power law away from the best price and the average book is hump-shaped. Key stylized facts for any simulator.
A Stochastic Model for Order Book Dynamics
Queueing model of the LOB with Poisson arrivals and cancellations. Computes probabilities like 'the mid moves up next' or 'my order fills before the mid moves'.
Price Dynamics in a Markovian Limit Order Market
Models only the queue sizes at the best bid and ask, giving closed-form probabilities of the next price move from queue imbalance.
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
Order arrival rates depend on current queue sizes. A realistic, calibratable LOB simulator for backtesting passive strategies.
Hawkes Processes in Finance
Survey of self-exciting point processes for trade arrivals, order flow and microstructure noise. The toolkit for event-time modelling.
ABIDES: Towards High-Fidelity Multi-Agent Market Simulation
Open-source agent-based exchange simulator with nanosecond messaging. Useful for testing strategies where your own impact matters.