Bayesian Machine Learning on the Limit Order Book
I am a quant in a French investment bank and handle limit order book data on a daily basis, using it to develop algorithms to support our trading efforts.The authors have built on their academic work to implement an ambitious project. We have been involved as one of their initial customers, providing feedback to the platform. Users need to sign-up with BMLL first and then they log into AWS using an RSA key and access the processed historical data and the suite of algorithms that accompanies it. The available data is growing rapidly, as is the sophistication of the offering. Has the potential to be an excellent resource.
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