Journal article

Limit Order Books

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.

Publication status:: Published

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APA Style

Gould, M. D., Porter, M., Williams, S., McDonald, M., Fenn, D., & Howison, S. (2010). Limit Order Books. QUANTITATIVE FINANCE, 13(11), 1709–1742.

MLA Style

Gould, MD, et al. “Limit Order Books.” QUANTITATIVE FINANCE, vol. 13, no. 11, 2010, pp. 1709–42.

Chicago Style

Gould, MD, M Porter, S Williams, M McDonald, D Fenn, and S Howison. 2010. “Limit Order Books.” QUANTITATIVE FINANCE 13 (11): 1709–42.
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Publisher copy:: 10.1080/14697688.2013.803148

Authors

+ Gould, MD More by this author

Role:: Author

+ Porter, M More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author

+ Williams, S More by this author

Role:: Author

+ McDonald, M More by this author

Role:: Author

+ Fenn, D More by this author

Role:: Author

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Journal:: QUANTITATIVE FINANCE More from this journal
Volume:: 13
Issue:: 11
Pages:: 1709-1742
Publication date:: 2010-12-01
DOI:: 10.1080/14697688.2013.803148
EISSN:: 1469-7696
ISSN:: 1469-7688

Keywords:: q-fin.TR

q-fin.GN

physics.data-an

q-fin.ST
Pubs id:: pubs:146877
UUID:: uuid:a1610ca2-2af1-473a-aebe-2ee937b7446c
Local pid:: pubs:146877
Source identifiers:: 146877
Deposit date:: 2012-12-19
ARK identifier:: ark:/29072/ora_a1610ca22af1473aaebe2ee937b7446c

Terms of use

Copyright date:: 2010
Notes:: 42 pages, 7 figures

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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