Quasi-Centralized Limit Order Books
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set from a...
| Main Authors: | , , |
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| Format: | Journal article |
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2015
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| _version_ | 1797106514024988672 |
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| author | Gould, MD Porter, M Howison, S |
| author_facet | Gould, MD Porter, M Howison, S |
| author_sort | Gould, MD |
| collection | OXFORD |
| description | A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set from a large electronic trading platform that utilizes QCLOBs to facilitate trade. We find many significant differences between our results and those widely reported for other LOBs. We also uncover a remarkable empirical universality: although the distributions describing order flow and market state vary considerably across days, a simple, linear rescaling causes them to collapse onto a single curve. Motivated by this finding, we propose a semi-parametric model of order flow and market state in a QCLOB on a single trading day. Our model provides similar performance to that of parametric curve-fitting techniques, while being simpler to compute and faster to implement. |
| first_indexed | 2024-03-07T07:01:37Z |
| format | Journal article |
| id | oxford-uuid:a67f12bc-1652-4404-97ea-2b446d688953 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T07:01:37Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | oxford-uuid:a67f12bc-1652-4404-97ea-2b446d6889532022-03-29T17:18:37ZQuasi-Centralized Limit Order BooksJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a67f12bc-1652-4404-97ea-2b446d688953Symplectic Elements at Oxford2015Gould, MDPorter, MHowison, SA quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set from a large electronic trading platform that utilizes QCLOBs to facilitate trade. We find many significant differences between our results and those widely reported for other LOBs. We also uncover a remarkable empirical universality: although the distributions describing order flow and market state vary considerably across days, a simple, linear rescaling causes them to collapse onto a single curve. Motivated by this finding, we propose a semi-parametric model of order flow and market state in a QCLOB on a single trading day. Our model provides similar performance to that of parametric curve-fitting techniques, while being simpler to compute and faster to implement. |
| spellingShingle | Gould, MD Porter, M Howison, S Quasi-Centralized Limit Order Books |
| title | Quasi-Centralized Limit Order Books |
| title_full | Quasi-Centralized Limit Order Books |
| title_fullStr | Quasi-Centralized Limit Order Books |
| title_full_unstemmed | Quasi-Centralized Limit Order Books |
| title_short | Quasi-Centralized Limit Order Books |
| title_sort | quasi centralized limit order books |
| work_keys_str_mv | AT gouldmd quasicentralizedlimitorderbooks AT porterm quasicentralizedlimitorderbooks AT howisons quasicentralizedlimitorderbooks |