15 June 2007 The limit order book on different time scales
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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.
© (2007) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Zoltán Eisler, Zoltán Eisler, János Kertész, János Kertész, Fabrizio Lillo, 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); doi: 10.1117/12.724817; https://doi.org/10.1117/12.724817
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