Limit order books

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 da...

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Bibliographic Details
Published in:Quantitative finance 2013-11, Vol.13 (11), p.1709-1742
Main Authors: Gould, Martin D., Porter, Mason A., Williams, Stacy, McDonald, Mark, Fenn, Daniel J., Howison, Sam D.
Format: Article
Language:English
Subjects:
Complex systems
Data analysis
International
Investment policy
Limit order books
Modelling
Securities markets
Statistical analysis
Studies
Stylized facts
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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.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2013.803148