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Quantitative Finance · Begrippenlijst

Wat is Locally linear order book?

Definition 13.2 Microstructure and Execution · Hoofdstuk 13 — Metaorders, Latent Liquidity and Cross-Impact

A locally linear order book has a latent density that vanishes at the price and grows linearly away from it, φ(x)=L ∣x−p∣\varphi(x)=L\,|x-p|, with LL the liquidity per unit of price squared.

Peak impact of a ten-second metaorder on a locally linear latent book (L=1, D=1): linear in size when the book refills faster than the order eats it, a square root when it does not. Data: mx_cross.llob_scan.
Figure 13.1. Peak impact of a ten-second metaorder on a locally linear latent book (L=1L=1, D=1D=1): linear in size when the book refills faster than the order eats it, a square root when it does not. Data: mx_cross.llob_scan.
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