Work

The limit order book on different time scales

Year: 2007

Type: conference-paper

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.

Source: Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE

DOI: 10.1117/12.724817

Authors: Zoltán Eisler, János Kertész, Fabrizio Lillo

Institutions: Budapest University of Technology and Economics, Santa Fe Institute, University of Palermo

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Ministero dell’Istruzione, dell’Università e della Ricerca, National Eye Institute

OpenAlex ID: W1984629683

FWCI: 4.917

Cites: 25

Cited by: 14

Related to: 10