SequentialLOB.jl.zip (11.06 kB)
Software: Latent Order Book Model
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.