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Lecture 7, part 2: LOB Markets - Dynamic Analysis
Limit Order Book
About
MarketMicrostructure
Books
[Algorithmic and high frequency trading]
1. Chapter1: Electronic Markets and the Limit Order Book
2. Chapter2: A Primer on the Microstrncture of Financial Markets
Code
Contents
1. Limit order book
2. Glosten: static, random market order demand
3. market design
4. Parlour: dynamic, endogenous market order demand
Lecture
[Financial Markets Microstructure]
1. Lecture 6: Limit Order Book Markets
2. Lecture 7, part 1: Market Design
3. Lecture 7, part 2: LOB Markets - Dynamic Analysis
Papers
[주몽] Market Making under a Weakly Consistent Limit Order Book Model.pdf
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