英文标题：
《SMC-ABC methods for the estimation of stochastic simulation models of
the limit order book》
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作者：
Gareth W. Peters and Efstathios Panayi and Francois Septier
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最新提交年份：
2015
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英文摘要：
In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is the primary data structure recorded each day intra-daily for all assets on every electronic exchange in the world in which trading takes place. As such, it represents one of the most important fundamental structures to study from a stochastic process perspective if one wishes to characterize features of stochastic dynamics for price, volume, liquidity and other important attributes for a traded asset. In this paper we aim to adopt the model structure which develops a stochastic model framework for the LOB of a given asset and to explain how to perform calibration of this stochastic model to real observed LOB data for a range of different assets.
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中文摘要：
在本文中，我们考虑了最近为定量金融开发的几类模型，这些模型涉及一个高度复杂的多变量、多属性随机过程，称为极限订单簿（LOB）。LOB是世界上每一个进行交易的电子交易所每天记录的所有资产的主要数据结构。因此，如果想要描述交易资产的价格、交易量、流动性和其他重要属性的随机动力学特征，它代表了从随机过程角度研究的最重要的基本结构之一。在本文中，我们旨在采用为给定资产的LOB开发随机模型框架的模型结构，并解释如何对一系列不同资产的实际观测LOB数据执行该随机模型的校准。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Computation 计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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