ABSTRACT
Execution strategies have come to play an important role in Algorithmic Trading. To develop successful execution strategies, it is necessary to have a good understanding of the limit order book dynamics. In this chapter, we cover from the practitioner's perspective, the normalizing analytics in capturing microstructure signals. The construction of the limit order book and its key descriptive indicators are covered. Recent work on modeling the dynamics of order book via Hawkes process is discussed and some empirical results on hidden liquidity are discussed based on Level III data.
