The DOI matches its Crossref record; 87 of the 87 references it cites were found in a registry or an index.
Limit order books
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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Cites
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Cited by
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Metadata
- Authors
- Gould, M. D., Porter, M. A., Williams, S., McDonald, M., Fenn, D. J., & Howison, S. D.
- Venue
- Quantitative Finance
- Publisher
- Informa UK Limited
- Published
- 2013-11
- Volume
- 13
- Issue
- 11
- Pages
- 1709-1742
- ISSN
- 1469-7688 (ISSN-L)
- 1469-7696
- OpenAlex
- W3121195520
- Cited by
- 308
- References
- 87
- FWCI
- 34.32
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
