Wednesday, December 18, 2013
"Limit Order Books"
Our review article on limit order books finally has official page numbers and all that, so I am finally going to blog about it. Here are the details of the article. Title: Limit Order Books Authors: Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn, and Sam D. Howison Abstract: 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.