University of Cape Town
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Software: Calibrating a Latent Order Book Model to Market Data

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posted on 2022-02-07, 05:35 authored by Michael GantMichael Gant, Tim GebbieTim Gebbie
This repository holds the Julia v1.5 scripts used in the minor dissertation, Calibrating a Latent Order Book Model to Market Data, by Michael Gant and supervised by Tim Gebbie as a part of the Masters in Advanced Analytics and Decision Sciences in the Statistical Sciences department at the University of Cape Town.

The code was run using the facilities provided by the UCT High Performance Computing center. The code run on the HPC requires installing 2 Julia packages from GitHub, namely: SequentialLOB.jl, AdaptiveABC.jl. The Project.toml in this repository contains the required Julia dependencies.

Generating the figures found in the dissertation requires additional plotting libraries, one of which needs to be installed from GitHub, StylizedFacts.jl.

The real market data used to calibrate the LOB and SLOB models can be downloaded from



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