Simulating and Analyzing Order Book Data: The Queue-Reactive Model
订单簿数据的模拟与分析：队列反应模型
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the midprice, remains constant. Within these periods, we view the limit order book as a Markov queuing system. Indeed, we assume that…