Purpose

This study aims to provide a systematic literature review of the research study in the area of limit order book (LOB) mechanism of trading and its implications for market efficiency. The study attempts to document the recent theoretical developments and empirical findings from the literature exhaustively and identifies the research gaps for future research.

Design/methodology/approach

The study uses seven reputable databases to select 2,514 research studies spanning over 1981-2018 (finally compressed to a pool of 103 articles, based on relevance and impact). The study uses bibliometric network visualization and text analytics to categorize and examine the literature. The chosen articles are compiled and analyzed to provide a comprehensive account of the current research on LOBs.

Findings

The recent LOB literature is summarized on various criteria as follows: sub-areas, the types of economies and markets, methodologies and the LOB measures. The review identifies a dearth of studies on the LOBs in emerging markets. It suggests the potential research areas as intraday studies in emerging LOB markets; application of market indicators based on deeper levels of LOB, beyond the best prices; market fragmentation, order routing decision and its impact on order execution quality; optimal display of LOB levels; liquidity dynamics in quote-driven markets vis-à-vis LOB markets; effect of high-frequency trading on market microstructure; application of advanced techniques (e.g. machine learning models, zero-intelligent models); relationship between the trading speed, order aggressiveness, shape and resilience of the order book and informed trading; and information content of the auxiliary order submission strategies, including cancellation, amendments and hidden orders.

Originality/value

For the past 15 years, to the best of the knowledge, a comprehensive review of the literature on LOBs has not been published. The financial markets have transformed significantly over this period, driven by the adoption of LOBs, low latency trading and technological advancements in information dissemination. This article provides an extensive collection and classification of the literature on LOBs. This would be useful for the practitioners, future researchers and academics in the area of financial markets.

中文翻译：

---

限价订单簿：对文献的系统回顾

目的

本研究旨在为限价订单簿（LOB）交易机制及其对市场效率的影响领域的研究提供系统的文献综述。该研究试图详尽地记录文献中最近的理论发展和经验发现，并确定未来研究的研究空白。

设计/方法/方法

该研究使用七个著名的数据库选择了1981年至2018年间的2,514项研究（根据相关性和影响力最终压缩为103篇文章）。该研究使用文献计量网络可视化和文本分析对文献进行分类和检查。所选择的文章经过编译和分析，以全面介绍当前有关LOB的研究。

发现

最近的LOB文献根据以下各种标准进行了总结：子区域，经济体和市场的类型，方法和LOB度量。该评论指出了新兴市场上关于LOB的研究不足。它提出了潜在的研究领域，如新兴LOB市场的盘中研究。根据更深层次的LOB（超出最佳价格）应用市场指标；市场分散，订单路由决策及其对订单执行质量的影响；最佳显示LOB级别；报价驱动市场相对于LOB市场的流动性动态；高频交易对市场微观结构的影响；应用先进技术（例如机器学习模型，零智能模型）；交易速度，订单进取性，订单簿和知情交易的形状和弹性；以及辅助订单提交策略的信息内容，包括取消，修改和隐藏订单。

创意/价值

在过去的15年中，就其所知，还没有发表关于LOB文献的全面综述。在此期间，由于采用LOB，低延迟交易和信息传播技术的进步，金融市场发生了重大变化。本文提供了有关LOB文献的广泛收集和分类。这对于金融市场领域的从业者，未来的研究人员和学者将是有用的。