CUED Publications database

Rebuilding the limit order book: Sequential Bayesian inference on hidden states

Christensen, HL and Turner, RE and Hill, SI and Godsill, SJ (2013) Rebuilding the limit order book: Sequential Bayesian inference on hidden states. Quantitative Finance, 13. pp. 1779-1799. ISSN 1469-7688

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Abstract

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. © 2013 © 2013 Taylor & Francis.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Signal Processing and Communications
Div F > Computational and Biological Learning
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:12
Last Modified: 23 Nov 2017 03:33
DOI: