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Visual analysis to support regulators in electronic order book markets

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Abstract

Electronic markets and automated trading have resulted in a drastic increase in the quantity and complexity of regulatory data. Reconstructing the limit order book and analyzing order flow is an emerging challenge for financial regulators. New order types, intra-market behavior, and other exchange functionality further complicate the task of understanding market behavior at multiple levels. Data visualizations have proven to be a fundamental tool for building intuition and enabling exploratory data analysis in many fields. In this paper, we propose the incorporation of visualizations in the workflow of multiple financial regulatory roles, including market surveillance, enforcement and supporting academic research.

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Authors and Affiliations

  1. Office of Financial Research, U.S. Department of the Treasury, 717 14th St NW, Washington, DC, 20005, USA

    Mark E. Paddrik

  2. Office of the Chief Economist, Commodity Futures Trading Commission, 1155 21st St NW, Washington, DC, 20581, USA

    Richard Haynes

  3. Department of Systems and Information Engineering, University of Virginia, Charlottesville, VA, 22903, USA

    Andrew E. Todd, William T. Scherer & Peter A. Beling

Authors
  1. Mark E. Paddrik
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  2. Richard Haynes
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  3. Andrew E. Todd
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  4. William T. Scherer
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  5. Peter A. Beling
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Correspondence to Mark E. Paddrik.

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Paddrik, M.E., Haynes, R., Todd, A.E. et al. Visual analysis to support regulators in electronic order book markets. Environ Syst Decis 36, 167–182 (2016). https://doi.org/10.1007/s10669-016-9597-2

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