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The limit order book on different time scales

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Modified on 2011/08/13 23:21 by Administrator Categorized as Articles

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo

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