发帖
雷达卡
摘要翻译：
限价单账簿（LOB）在全球一半以上的金融市场上匹配买家和卖家。这项调查强调了从丰富的LOBS经验和理论研究中产生的见解。我们检查了历史LOB数据的统计分析报告的发现，并讨论了几个LOB模型如何提供对机制某些方面的洞察力。我们还说明，许多这样的模型与实际的LOB很不相似，而且几个已经确立的经验事实还没有得到令人满意的再现。最后，我们确定了关于LOB的几个关键的未解决的问题。
---
英文标题：
《Limit Order Books》
---
作者：
Martin D. Gould and Mason A. Porter and Stacy Williams and Mark
McDonald and Daniel J. Fenn and Sam D. Howison
---
最新提交年份：
2013
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
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
--
---
英文摘要：
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.
---
PDF链接：
https://arxiv.org/pdf/1012.0349
京公网安备 11010802022788号
