{"paper":{"title":"SMC-ABC methods for the estimation of stochastic simulation models of the limit order book","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.ST","stat.CO"],"primary_cat":"q-fin.CP","authors_text":"Efstathios Panayi, Francois Septier, Gareth W. Peters","submitted_at":"2015-04-22T13:54:25Z","abstract_excerpt":"In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is the primary data structure recorded each day intra-daily for all assets on every electronic exchange in the world in which trading takes place. As such, it represents one of the most important fundamental structures to study from a stochastic process perspective if one wishes to characterize features of stochastic dynamics for price, volume, liquidity and ot"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1504.05806","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}