交易与市场微观结构

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

The author proposes a finance trading strategy named Entropy Oriented Trading and apply thermodynamics on the strategy. The state variables are chosen so that the strategy satisfies the second law of thermodynamics. Using the law, the…