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Limit Order Books

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

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    File URL: http://arxiv.org/pdf/1012.0349
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1012.0349.

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    Date of creation: Dec 2010
    Date of revision: Apr 2013
    Handle: RePEc:arx:papers:1012.0349

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    References

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    Cited by:
    1. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    2. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    3. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.

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