Title :
A Survey of Limit Order Book Modeling in Continuous Auction Market
Author :
Jiang, Guochao ; Wang, Susheng ; Dong, Hailing
Author_Institution :
Shenzhen Grad. Sch., Harbin Inst. of Technol., Shenzhen, China
Abstract :
The study of limit order book modeling has attracted increasing attention in financial research with continuous auction markets becoming increasingly common. Limit order book modeling will help to better reveal the price formation process and to better understand the microstructure of financial market. This article summaries recent progress and future research directions about limit order book modeling according to three different modeling methods.
Keywords :
commerce; market research; pricing; continuous auction markets; financial market; financial research; limit order book modeling; price formation process; Analytical models; Economics; Markov processes; Microstructure; Numerical models; Queueing analysis;
Conference_Titel :
Intelligent Systems and Applications (ISA), 2011 3rd International Workshop on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-9855-0
Electronic_ISBN :
978-1-4244-9857-4
DOI :
10.1109/ISA.2011.5873393
