Simulating and Analyzing Order Book Data: The Queue-Reactive Model
نویسندگان
چکیده
منابع مشابه
A Model for Queue Position Valuation in a Limit Order Book∗
Many financial markets operate as electronic limit order books under a price-time priority rule. In this setting, among all resting orders awaiting trade at a given price, earlier orders are prioritized for matching with contra-side liquidity takers. This creates a technological arms race among high-frequency traders and other automated market participants to establish early (and hence advantag...
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Analyzing Service Order Data using Association Mining
Association mining was originally developed and successfully applied to analyze the sale transactions of retail goods. According to common practices of association mining, each item is treated equally. But in a service order transaction especially in a telecom setup, an item (service) can be in several states. We propose a simple solution to analyze service order data using association mining b...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2015
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2014.982278