Description
Book SynopsisLimit order books and order-driven markets form one of the main fields in market microstructure, an area which has triggered a considerable amount of interest amongst both researchers and market practitioners. This text is devoted to the statistical, mathematical and numerical aspects of limit order books.
Table of ContentsForeword; Preface; Acknowledgements; List of tables; List of figures; 1. A short introduction to limit order books; 2. Statistical properties of limit order books: a survey; 3. The order book shape as a function of the average size of limit orders; 4. Empirical evidence of market making and market taking; 5. Agent-based modelling of limit order books: a survey; 6. The mathematical structure of zero-intelligence limit order book models; 7. The order book as a queueing system; 8. Advanced modelling of limit order books; 9. Numerical simulation of limit order books; 10. Market imperfection and predictability; Appendix A. A catalogue of order types on financial markets; Appendix B. Limit order book data; Appendix C. Some useful mathematical notions; Appendix D. Comparison of various prediction methods; Bibliography; Index.
