Limit Order Books

42 Pages Posted: 9 Dec 2011 Last revised: 2 Apr 2013

See all articles by Martin David Gould

Martin David Gould

University of Oxford - Mathematical Institute

Mason Alexander Porter

University of Oxford

Stacy Williams

HSBC Bank - FX Research and Trading Group

Mark McDonald

HSBC Bank (London)

Daniel Fenn

HSBC (London)

Sam Howison

University of Oxford - Nomura Centre for Quantitative Finance, OCIAM

Date Written: April 27, 2012

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.

Keywords: Limit Order Books, Survey, Models, Statistics, Markets

Suggested Citation

Gould, Martin David and Porter, Mason Alexander and Williams, Stacy and McDonald, Mark and Fenn, Daniel and Howison, Sam, Limit Order Books (April 27, 2012). Available at SSRN: https://ssrn.com/abstract=1970185 or http://dx.doi.org/10.2139/ssrn.1970185

Martin David Gould (Contact Author)

University of Oxford - Mathematical Institute ( email )

Andrew Wiles Building
Radcliffe Observatory Quarter (550)
Oxford, OX2 6GG
United Kingdom

Mason Alexander Porter

University of Oxford ( email )

Mansfield Road
Oxford, Oxfordshire OX1 4AU
United Kingdom

Stacy Williams

HSBC Bank - FX Research and Trading Group ( email )

Fourth Floor, 8 Canada Square
Canary Wharf, London, E14 5HQ
United Kingdom

Mark McDonald

HSBC Bank (London) ( email )

London
United Kingdom

Daniel Fenn

HSBC (London) ( email )

Fourth Floor, 8 Canada Square
Canary Wharf, London, E14 5HQ
United Kingdom

Sam Howison

University of Oxford - Nomura Centre for Quantitative Finance, OCIAM ( email )

Mathematical Institute
24-29 St Giles
Oxford OX1 3LB
United Kingdom

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