Visual analysis to support regulators in electronic order book markets

Mark Paddrik (), Richard Haynes, Andrew E. Todd, William T. Scherer and Peter A. Beling
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Richard Haynes: Commodity Futures Trading Commission
Andrew E. Todd: University of Virginia
William T. Scherer: University of Virginia
Peter A. Beling: University of Virginia

Environment Systems and Decisions, 2016, vol. 36, issue 2, 167-182

Abstract: Abstract Electronic markets and automated trading have resulted in a drastic increase in the quantity and complexity of regulatory data. Reconstructing the limit order book and analyzing order flow is an emerging challenge for financial regulators. New order types, intra-market behavior, and other exchange functionality further complicate the task of understanding market behavior at multiple levels. Data visualizations have proven to be a fundamental tool for building intuition and enabling exploratory data analysis in many fields. In this paper, we propose the incorporation of visualizations in the workflow of multiple financial regulatory roles, including market surveillance, enforcement and supporting academic research.

Keywords: Financial data visualization; Exploratory visual analytics; Limit order book (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10669-016-9597-2

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