When two worlds collide: Using particle physics tools to visualize the limit order book

Marjolein E. Verhulst*, Philippe Debie, Stephan Hageboeck, Joost M. E. Pennings, Cornelis Gardebroek, Axel Naumann, Paul van Leeuwen, Andres A. Trujillo-Barrera, Lorenzo Moneta

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.
Original languageEnglish
Pages (from-to)1715-1734
Number of pages20
JournalJournal of Futures Markets
Volume41
Issue number11
Early online date21 Jul 2021
DOIs
Publication statusPublished - Nov 2021

Keywords

  • limit order book
  • liquidity
  • particle physics
  • ROOT
  • visualization
  • PRICE DISCOVERY
  • MARKET QUALITY
  • FREQUENCY
  • INFORMATION

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