When two worlds collide: Using particle physics tools to visualize the limit order book

Marjolein E. Verhulst; Philippe Debie; Stephan Hageboeck; Joost M.E. Pennings; Cornelis Gardebroek; Axel Naumann; Paul van Leeuwen; Andres A. Trujillo-Barrera; Lorenzo Moneta

doi:10.1002/fut.22251

When two worlds collide: Using particle physics tools to visualize the limit order book

Marjolein E. Verhulst^*, Philippe Debie, Stephan Hageboeck, Joost M.E. Pennings, Cornelis Gardebroek, Axel Naumann, Paul van Leeuwen, Andres A. Trujillo-Barrera, Lorenzo Moneta

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

1 Citation (Scopus)

Abstract

We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.

Original language	English
Pages (from-to)	1715-1734
Journal	Journal of Futures Markets
Volume	41
Issue number	11
Early online date	5 Jul 2021
DOIs	https://doi.org/10.1002/fut.22251
Publication status	Published - 2021

Keywords

limit order book
liquidity
particle physics
ROOT
visualization

Access to Document

10.1002/fut.22251Licence: CC BY-NC-ND

https://edepot.wur.nl/551589Licence: CC BY-NC-ND

Cite this

@article{ef4848b32fb042ccbec074fb150e18f9,

title = "When two worlds collide: Using particle physics tools to visualize the limit order book",

abstract = "We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.",

keywords = "limit order book, liquidity, particle physics, ROOT, visualization",

author = "Verhulst, {Marjolein E.} and Philippe Debie and Stephan Hageboeck and Pennings, {Joost M.E.} and Cornelis Gardebroek and Axel Naumann and {van Leeuwen}, Paul and Trujillo-Barrera, {Andres A.} and Lorenzo Moneta",

note = "Publisher Copyright: {\textcopyright} 2021 The Authors. Journal of Futures Markets Published by Wiley Periodicals LLC",

year = "2021",

doi = "10.1002/fut.22251",

language = "English",

volume = "41",

pages = "1715--1734",

journal = "Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley",

number = "11",

}

TY - JOUR

T1 - When two worlds collide

T2 - Using particle physics tools to visualize the limit order book

AU - Verhulst, Marjolein E.

AU - Debie, Philippe

AU - Hageboeck, Stephan

AU - Pennings, Joost M.E.

AU - Gardebroek, Cornelis

AU - Naumann, Axel

AU - van Leeuwen, Paul

AU - Trujillo-Barrera, Andres A.

AU - Moneta, Lorenzo

PY - 2021

Y1 - 2021

N2 - We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.

AB - We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and visualize futures markets. Message-based data is used, rather than snapshots, as it offers numerous visualization advantages. The visualization method can include multiple variables and markets simultaneously and is not necessarily time dependent. Stakeholders can use it to visualize high-velocity data to gain a better understanding of markets or effectively monitor markets. In addition, the method is easily adjustable to user specifications to examine various LOB research topics, thereby complementing existing methods.

KW - limit order book

KW - liquidity

KW - particle physics

KW - ROOT

KW - visualization

U2 - 10.1002/fut.22251

DO - 10.1002/fut.22251

M3 - Article

AN - SCOPUS:85110963926

VL - 41

SP - 1715

EP - 1734

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 11

ER -

When two worlds collide: Using particle physics tools to visualize the limit order book

Abstract

Keywords

Access to Document

Fingerprint

Cite this