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Total Posts: 1
Joined: Jan 2017
Posted: 2017-01-21 20:29
A very general question, but I hope maybe someone can point me in the direction of something practical regarding equity orders, their routing in both major and off-site exchanges and if queuing theory models can help in understanding any meaningful aspect of market micro-structure and the matching engines used on those exchanges? Thanks


Total Posts: 45
Joined: Apr 2010
Posted: 2017-02-07 23:24
Check section 5.5 "Queueing models of LOB dynamics" from the recent book (Dec 2016) "Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization" by Xin Guo, Tze Leung Lai, Howard Shek and Samuel Po-Shing Wong.
It should give you some hints and references on how to framework limit order books dynamics with queueing theory.
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