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Queuing Theory and LOB
Posted: Sat Jan 21, 2017 8:29 pm
by A_Cow_Ski
A very general question, but I hope maybe someone can point me in the direction of something practical regarding equity orders, their routing in both major and off-site exchanges and if queuing theory models can help in understanding any meaningful aspect of market micro-structure and the matching engines used on those exchanges? Thanks
Queuing Theory and LOB
Posted: Tue Feb 07, 2017 11:24 pm
by GeekySerge
Check section 5.5 "Queueing models of LOB dynamics" from the recent book (Dec 2016) "Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization" by Xin Guo, Tze Leung Lai, Howard Shek and Samuel Po-Shing Wong.
It should give you some hints and references on how to framework limit order books dynamics with queueing theory.