Modelling the Limit Order Book

Contents

12. Modelling the Limit Order Book#

12.1. Introduction#

12.2. Models for order arrival#

12.2.1. Visible and hidden orders#

12.3. Market impact models#

12.4. Volume prediction models#

12.5. Probability of filling a limit order#

12.6. Short term price prediction#

12.7. Information Asymmetry#

12.8. Simulation of LOBs#

12.8.1. Probabilistic generative models#

12.8.2. Agent based models#