When two worlds collide: Using particle physics tools to visualize the limit order book

Marjolein E. Verhulst, Philippe Debie, Stephan Hageboeck, Joost M. E. Pennings, Cornelis Gardebroek, Axel Naumann, Paul van Leeuwen, Andres A. Trujillo‐Barrera and Lorenzo Moneta
Authors registered in the RePEc Author Service: Andres Trujillo-Barrera

Journal of Futures Markets, 2021, vol. 41, issue 11, 1715-1734

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.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/fut.22251

Related works:
Working Paper: When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1715-1734

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().