University of Cape Town
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Software: Latent Order Book Model

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posted on 2022-02-07, 05:29 authored by Michael GantMichael Gant, Tim GebbieTim Gebbie
A Julia package stored in a GitHub repository that contains 2 models, the Latent Order Book (LOB) model and its extension, the Sequential Latent Order Book (SLOB) model.

Each model requires a set of configuration arguments and a set of free-parameters. Then the model can simulate a latent order book and extract a mid-price path time series. The package contains the Discrete Time Random Walk (DTRW) numerical scheme used to iteratively solve the reaction-diffusion partial differential equation for the latent order book.

This package is used in the dissertation, Calibrating a Latent Order Book Model to Market Data, to numerical solve and simulate the latent order book.



Statistical Sciences

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