The limit order book on different time scales

Details The limit order book on different time scales The limit order book on different time scales

2007-05-28

arxiv.org/abs/0705.4023v1

Proc. SPIE 6601, 66010G (2007)

Economy

Quantitative Finance

Trading and Market Microstructure

11 pages, 7 figures, 2 tables, to appear in Proc. SPIE, Fluctuations and Noise 2007, Florence

Scientific paper

10.1117/12.724817

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.

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