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 Trujillo-Barrera and Lorenzo Moneta

Papers from arXiv.org

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: 2021-09
New Economics Papers: this item is included in nep-fmk, nep-isf and nep-mst
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