The limit order book on different time scales
Trading and Market Microstructure
2008-12-02 v1 Data Analysis, Statistics and Probability
Physics and Society
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.
Cite
@article{arxiv.0705.4023,
title = {The limit order book on different time scales},
author = {Zoltan Eisler and Janos Kertesz and Fabrizio Lillo},
journal= {arXiv preprint arXiv:0705.4023},
year = {2008}
}