The limit order book on different time scales
Modified on 2011/08/13 23:21 by Administrator — Categorized as: Articles
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo
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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.
Published by
arXiv.org
on
5/28/2007
The limit order book on different time scales