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The Role of Visual Analysis in the Regulation of Electronic Order Book Markets

Author

Listed:
  • Mark Paddrik

    (Office of Financial Research)

  • Richard Haynes

    (U.S. Department of the Treasury)

  • Andrew E. Todd

    (University of Virginia)

  • Peter A. Beling

    (University of Virginia)

  • William T. Scherer

    (University of Virginia)

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.

Suggested Citation

  • Mark Paddrik & Richard Haynes & Andrew E. Todd & Peter A. Beling & William T. Scherer, 2014. "The Role of Visual Analysis in the Regulation of Electronic Order Book Markets," Staff Discussion Papers 14-02, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:discus:14-02
    as

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    File URL: https://financialresearch.gov/staff-discussion-papers/files/OFRsdp2014-02_PaddrikHaynesToddBelingScherer_RoleofVisualAnalysisinRegulationofElectronicOrderBookMarkets.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
    1. Olivier Blanchard, 2009. "The Crisis: Basic Mechanisms and Appropriate Policies," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(01), pages 3-14, April.
    2. Harris, Larry, 2002. "Trading and Exchanges: Market Microstructure for Practitioners," OUP Catalogue, Oxford University Press, number 9780195144703.
    3. Wilkinson, Leland & Friendly, Michael, 2009. "The History of the Cluster Heat Map," The American Statistician, American Statistical Association, vol. 63(2), pages 179-184.
    4. Terrence Hendershott & Charles M. Jones, 2005. "Island Goes Dark: Transparency, Fragmentation, and Regulation," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 743-793.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

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    More about this item

    Keywords

    Visualization; Visual Databases; Financial Markets; Law Enforcement;
    All these keywords.

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