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Bibliographic Detail
Publisher Cambridge Univ Pr
Publication date October 1, 2017
Binding Hardcover
Book category Adult Non-Fiction
ISBN-13 9781107163980
ISBN-10 1107163986
Original list price $64.99
Other format details university press
Summaries and Reviews
Amazon.com description: Product Description: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

Editions
Hardcover
Book cover for 9781107163980
 
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With Frederic Abergel, Anirban Chakraborti, Ioane Muni Toke, Aymen Jedidi | from Cambridge Univ Pr (October 1, 2017)
9781107163980 | details & prices | List price $64.99
About: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp.

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