The limit order book on different time scales

6533b7dafe1ef96bd126e206

RESEARCH PRODUCT

The limit order book on different time scales

János Kertész Zoltan Eisler Fabrizio Lillo

subject

FOS: Economics and business Physics - Physics and Society Quantitative Finance - Trading and Market Microstructure Stock exchange Physics - Data Analysis Statistics and Probability Financial market Economics Econometrics FOS: Physical sciences Physics and Society (physics.soc-ph)Data Analysis Statistics and Probability (physics.data-an)Trading and Market Microstructure (q-fin.TR)

description

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.

year	journal	country	edition	language
2007-01-01

http://hdl.handle.net/10447/30260

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