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Relationships worth to be analyzed in order book data
Posted: May 16th, 2010, 10:59 am
by agerigk
Hi guys,I managed to get access to a very nice level 2 order book database for my master's thesis and now I am thinking about which relationships in order book data are worth looking at.Apart from some obvious things (like a correlation between the bid-ask spreads of the 10 quotes) what kind of relationships are interesting to look at?It would be great to get some input.If it is of interest: I am analyzing the data with a D-vine pair copula construction.
Relationships worth to be analyzed in order book data
Posted: May 16th, 2010, 5:06 pm
by Alan
Well, the obvious topic is to see if you can detect symptoms of the so-called flash-crash cascadethat we saw on May 6. When heavy selling is triggering a bunch of stop-loss orders, then how wouldyou detect this in the order book?. Were there cascade symptoms prior to May 6? How doesthe book change when the NYSE goes into slow mode? A zillion obvious questions ...
Relationships worth to be analyzed in order book data
Posted: May 24th, 2010, 5:34 am
by sidmaestro
An interesting study that I have been working on (but left unfinished) is to track algo'scan you please suggest some references to this in the form of books or papers or any web resources ? this sounds extremely interesting.also since you have experience on this can you also suggest what kind of algos would be easiest to study in this manner. thanks in advance
Relationships worth to be analyzed in order book data
Posted: May 24th, 2010, 7:18 am
by sidmaestro
dear outrun sir,although i know this is too much to ask from a menial noob quant, i would love to do anything associated with this and would be extremely happy if you could let me contribute in any small riskless way. i am a master's degree holder in mathematics and now more than just a beginner in quant finance.thanking yousincerely