LOBSTER: Limit Order Book Reconstruction System

  • Huang R
  • Polak T
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Abstract

Abstract The rise of order -driven markets in recent years created considerable challenges for researchers, who have to cope with extremely large amounts of data produced daily by the markets. It is our goal to spare academic researchers the tedious task of technical ...

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Authors

  • Ruihong Huang

  • Tomas Polak

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