It takes the average reader 4 hours and 3 minutes to read Limit Order Books by Frédéric Abergel
Assuming a reading speed of 250 words per minute. Learn more
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 order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
Limit Order Books by Frédéric Abergel is 242 pages long, and a total of 60,984 words.
This makes it 82% the length of the average book. It also has 75% more words than the average book.
The average oral reading speed is 183 words per minute. This means it takes 5 hours and 33 minutes to read Limit Order Books aloud.
Limit Order Books is suitable for students ages 12 and up.
Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.
When deciding what to show young students always use your best judgement and consult a professional.
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