DocumentCode
3521425
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
fYear
2011
fDate
28-29 May 2011
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ISA.2011.5873393
Filename
5873393
Link To Document