• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

limit order book introduction

martingaletrader

martingaletrader

Joined
6/18/10
Messages
64
Points
18
I was looking at how the limit order book works and couldn't find a suitable introduction book or tutorial that explains this stuff from the ground up. Basics of limit order books and dynamics.

I did see some papers but they are kind of advanced.

Any ideas?
 
I am not sure there is enough to say about this topic to write an entire book on it. Maybe exchanges have some publications. Every market may work slightly differently.

Dynamics: Prof. Harris markets and exchanges probably has a chapter or two o it.
 
You can look into literature on market microstructure.

For instance, "Empirical Market Microstructure" by Joel Hasbrouck (not the newest one, but may work as an intro):
http://people.stern.nyu.edu/jhasbrou/EMM Book/EMM Home.htm
In particular, see the sample chapters: Introduction, Trading mechanisms.

Also "from the scratch" are notes on the "Securities Trading: Procedures and Principles" -- e.g., Chapters 3, 8 may be of help:
http://people.stern.nyu.edu/jhasbrou/TeachingMaterials/MarketsAll04.pdf
http://people.stern.nyu.edu/jhasbrou/Teaching/2014 Winter Markets/PDFHandouts/STPP030405W.pdf
http://people.stern.nyu.edu/jhasbrou/Teaching/2014 Winter Markets/PDFHandouts/STPP080910W.pdf
 
Back
Top