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

Autor:	Verhulst, Marjolein E., Debie, Philippe, Hageboeck, Stephan, Pennings, Joost M. E., Gardebroek, Cornelis, Naumann, Axel, van Leeuwen, Paul, Trujillo-Barrera, Andres A., Moneta, Lorenzo
Rok vydání:	2021
Předmět:	Quantitative Finance - Trading and Market Microstructure Physics - Data Analysis Statistics and Probability
Druh dokumentu:	Working Paper
DOI:	10.1002/fut.22251
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:	arXiv
Externí odkaz:	http://arxiv.org/abs/2109.04812 Zobrazit plný text záznamu View this record from Arxiv