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

被引：0
作者：
Christensen, Hugh L. [1 ]
Turner, Richard E. [2 ]
Hill, Simon I. [1 ]
Godsill, Simon J. [1 ]
机构：
[1] Univ Cambridge, Dept Engn, Signal Proc & Commun Lab, Cambridge CB2 1PZ, England
[2] Univ Cambridge, Dept Engn, Computat & Biol Learning Lab, Cambridge CB2 1PZ, England
来源：
QUANTITATIVE FINANCE | 2013年 / 13卷 / 11期
基金：
英国工程与自然科学研究理事会;
关键词：
Bayesian inference; Belief propagation; Futures trading; Quantitative finance; Tracking;
D O I：
10.1080/14697688.2013.851402
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：1779 / 1799
页数：21
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