In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders is captured by the limit order book (LOB). In this project, we explored the LOB data and gain insight on stock price movements at the millsecond scale.
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In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders is captured by the limit order book (LOB). In this project, we explored the LOB data and gain insight on stock price movements at the millsecond scale.
760chong/HighFreqTransaction
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In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders is captured by the limit order book (LOB). In this project, we explored the LOB data and gain insight on stock price movements at the millsecond scale.
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