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Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D.

Limit order books. (English) Zbl 1284.91584

Quant. Finance 13, No. 11, 1709-1742 (2013).
Summary: Limit order books (LOBs) match buyers and sellers in more than half of the world’s financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the findings reported by statistical analyses of historical LOB data and discuss how several LOB models provide insight into certain aspects of the mechanism. We also illustrate that many such models poorly resemble real LOBs and that several well-established empirical facts have yet to be reproduced satisfactorily. Finally, we identify several key unresolved questions about LOBs.

Cited in 38 Documents

MSC:

91G70 Statistical methods; risk measures
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

Keywords:

limit order books; data analysis; modelling; stylized facts; complex systems
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\textit{M. D. Gould} et al., Quant. Finance 13, No. 11, 1709--1742 (2013; Zbl 1284.91584)
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