High Frequency Trading II: Limit Order Book


Statistical Arbitrage Using Limit Order Book Imbalance Anton D. Rubisov University of Toronto Institute for Aerospace Studies Faculty of Applied Science and Engineering University of Toronto Abstract This dissertation demonstrates that there is high revenue potential in us-ing limit order book imbalance as a state variable in an algorithmic trading strategy. Beginning with the hypothesis.

RFQ is an asymmetric trade execution model. Therefore, the price of a traded security is not given by a unique price.

Article Series

 · The process of building the book through limit orders and the ways in which the limit order book can be adjusted by order cancellations and by the execution of market orders are also explained.

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