eCommons

 

MODELING AND SIMULATION OF ORDER BOOK DYNAMICS: A STUDY ON FINANCIAL MARKET MICROSTRUCTURE

Other Titles

Author(s)

Abstract

This thesis presents two projects for Julia developers in financial studies. The first project focuses on the Limit Order Book (LOB), which is a useful tool in studying financial market microstructure. As trading volume grows, efficient data structures become more important for reducing latency and modeling accuracy. To address this challenge, the VLLimitOrderBook.jl package is proposed as a software solution that simulates the order book dynamics and captures the interaction between market participants and exchanges. This package is validated via data feed messages from Nasdaq TotalViewITCH. It serves as an effective tool for researchers and traders to study order book behavior and develop trading strategies. The second project involves the development of a WebSocket API for PQPolygonSDK.jl, a software development kit for Polygon.io financial data warehouse. We provide an analysis of data volume and latency, as well as a discussion of the WebSocket structure and its future development.

Journal / Series

Volume & Issue

Description

Sponsorship

Date Issued

2023-05

Publisher

Keywords

Financial markets; Julia; Limit order book; Matching engine; Real-time data; Websocket

Location

Effective Date

Expiration Date

Sector

Employer

Union

Union Local

NAICS

Number of Workers

Committee Chair

Varner, Jeffrey

Committee Co-Chair

Committee Member

Birman, Kenneth

Degree Discipline

Chemical Engineering

Degree Name

M.S., Chemical Engineering

Degree Level

Master of Science

Related Version

Related DOI

Related To

Related Part

Based on Related Item

Has Other Format(s)

Part of Related Item

Related To

Related Publication(s)

Link(s) to Related Publication(s)

References

Link(s) to Reference(s)

Previously Published As

Government Document

ISBN

ISMN

ISSN

Other Identifiers

Rights

Rights URI

Types

dissertation or thesis

Accessibility Feature

Accessibility Hazard

Accessibility Summary

Link(s) to Catalog Record