LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE

Cumhur Ekinci ()

Finance from EconWPA

Abstract: We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original approach by incorporating trades into the order book.

Keywords: order; transaction; order book; trading; microstructure; financial markets; Istanbul Stock Exchange (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2005-10-20, Revised 2005-10-24
Note: Type of Document - pdf; pages: 24. This is a paper about the tools, a kind of 'Discours sur la méthode'. It's not theoretical at all, but would help empirical work. Please, do not cite or quote without permission.
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0510025

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