The limit order book on different time scales

Zoltán Eisler; János Kertész; Fabrizio Lillo

doi:10.1117/12.724817

15 June 2007 The limit order book on different time scales

Zoltán Eisler, János Kertész, Fabrizio Lillo

Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010G (2007) https://doi.org/10.1117/12.724817
Event: SPIE Fourth International Symposium on Fluctuations and Noise, 2007, Florence, Italy

Abstract

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

Citation Download Citation

Zoltán Eisler, János Kertész, and Fabrizio Lillo "The limit order book on different time scales", Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010G (15 June 2007); https://doi.org/10.1117/12.724817

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