A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri

The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit