Rebuilding the limit order book: sequential Bayesian inference on hidden states

DOI10.1080/14697688.2013.851402zbMath1284.91581OpenAlexW1983636308MaRDI QIDQ2871430

Richard E. Turner, Simon I. Hill, Hugh L. Christensen, Simon J. Godsill

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.851402

zbMATH Keywords

trackingBayesian inferencebelief propagationquantitative financefutures trading

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Uses Software

• PRMLT

Cites Work

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• Sequential Monte Carlo Methods in Practice
• A Stochastic Model for Order Book Dynamics
• High-frequency trading in a limit order book

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