When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book

Autor: Joost M.E. Pennings, Marjolein E. Verhulst, Lorenzo Moneta, Paul van Leeuwen, Cornelis Gardebroek, Axel Naumann, Stephan Hageboeck, Philippe Debie, Andres Trujillo-Barrera
Přispěvatelé: Finance, Marketing & Supply Chain Management, RS: GSBE other - not theme-related research
Rok vydání: 2021
Předmět:
Marketing and Consumer Behaviour
Economics and Econometrics
Root (linguistics)
Particle physics
INFORMATION
Computer science
Other Fields of Physics
FOS: Physical sciences
WASS
FREQUENCY
Informatiemanagement & Projectmanagement Organisatie
law.invention
physics.data-an
FOS: Economics and business
ROOT
law
Accounting
Agricultural Economics and Rural Policy
Consument & Keten
particle physics
visualization
Datawetenschap
Informatiemanagement & Projectmanagement Organisatie
Large Hadron Collider
liquidity
Quantitative Finance - Trading and Market Microstructure
Data Science
Agrarische Economie en Plattelandsbeleid
PRICE DISCOVERY
Data Science
Information Management & Projectmanagement Organisation
Datawetenschap
Innovation- and Risk Management and Information Governance
General Business
Management and Accounting
Visualization
Trading and Market Microstructure (q-fin.TR)
Lens (optics)
q-fin.TR
MARKET QUALITY
Physics - Data Analysis
Statistics and Probability
Marktkunde en Consumentengedrag
Consumer and Chain
Futures contract
Finance
Data Analysis
Statistics and Probability (physics.data-an)
Information Management & Projectmanagement Organisation
limit order book
Zdroj: Journal of Futures Markets, 41(11), 1715-1734
Journal of Futures Markets, 41(11), 1715-1734. John Wiley & Sons Inc.
Journal of Futures Markets 41 (2021) 11
ISSN: 0270-7314
DOI: 10.48550/arxiv.2109.04812
Popis: We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.
Comment: 51 pages, 9 figures
Databáze: OpenAIRE
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