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

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 advan...

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Detalles Bibliográficos
Autores principales: Verhulst, Marjolein E., Debie, Philippe, Hageboeck, Stephan, Pennings, Joost M.E., Gardebroek, Cornelis, Naumann, Axel, van Leeuwen, Paul, Trujillo-Barrera, Andres A., Moneta, Lorenzo
Lenguaje:eng
Publicado: 2021
Materias:
physics.data-an
Other Fields of Physics
q-fin.TR
Acceso en línea:https://dx.doi.org/10.1002/fut.22251
http://cds.cern.ch/record/2807794

Internet

https://dx.doi.org/10.1002/fut.22251
http://cds.cern.ch/record/2807794

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