Limit Order Book

A limit order book (LOB) records buy and sell orders at various price levels, providing a detailed view of market dynamics. Current research focuses on using advanced machine learning techniques, such as deep learning (including convolutional and attention-based architectures) and Hawkes processes, to model LOB behavior, predict price movements, and optimize trading strategies like market making and optimal execution. These efforts aim to improve forecasting accuracy, develop more robust trading algorithms, and enhance our understanding of market microstructure, with implications for both academic research and practical applications in high-frequency trading. The development of efficient LOB simulators, often leveraging GPUs, is also a key area of ongoing work, enabling large-scale testing and training of sophisticated trading models.