Abstract
We present a new approach to study big data in finance (specifically, in limit order books), based on stochastic modelling of price changes associated with high-frequency and algorithmic trading. We introduce a big data in finance, namely, limit order books (LOB), and describes them by Lobster data-academic data for studying LOB. Numerical results, associated with Lobster and other data, are presented, and explanation and justification of our method of studying of big data in finance are considered. We also describe various stochastic models for mid-price changes in the market, and explain how to use these models in practice, highlighting the methodological aspects of using the models.
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