Rebuilding the limit order book: sequential Bayesian inference on hidden states
Rebuilding the limit order book: sequential Bayesian inference on hidden states
复制标题
DOI：
10.1080/14697688.2013.851402
复制
发表时间：
2013-11
影响因子：
1.3
通讯作者：
H. Christensen;Richard E. Turner;Simon I. Hill;S. Godsill
中科院分区：
文献类型：
--
作者：
H. Christensen;Richard E. Turner;Simon I. Hill;S. Godsill
The limit order book of an exchange represents an information store of market participants’ future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world’s most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges.
