2
$\begingroup$

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc).

I am interested in modelling the order book based upon the buy/sell pressure within the order book depth.

Improve this question
$\endgroup$
2
  • $\begingroup$ I've never heard of using fluid dynamics used to model the order book. Did you see this mentioned some place? $\endgroup$
    – chrisaycock
    Jul 14, 2013 at 20:21
  • $\begingroup$ a good start is the Markovian jump-diffusion process and that's only for the limit order book ;) $\endgroup$
    – pyCthon
    Jul 17, 2013 at 2:51

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.