When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book
Trading and Market Microstructure
2021-09-13 v1 Data Analysis, Statistics and Probability
Abstract
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 advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.
Cite
@article{arxiv.2109.04812,
title = {When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book},
author = {Marjolein E. Verhulst and Philippe Debie and Stephan Hageboeck and Joost M. E. Pennings and Cornelis Gardebroek and Axel Naumann and Paul van Leeuwen and Andres A. Trujillo-Barrera and Lorenzo Moneta},
journal= {arXiv preprint arXiv:2109.04812},
year = {2021}
}
Comments
51 pages, 9 figures