The limit order book on different time scales

Zoltan Eisler, Janos Kertesz and Fabrizio Lillo

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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.

Date: 2007-05
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Citations: View citations in EconPapers (4)

Published in Proc. SPIE 6601, 66010G (2007)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0705.4023

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