The limit order book on different time scales

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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.
11 pages, 7 figures, 2 tables, to appear in Proc. SPIE, Fluctuations and Noise 2007, Florence

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Trading and Market Microstructure, Data Analysis, Statistics and Probability, Physics and Society

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http://salesiana.dossiersoluciones.com/handle/123456789/208324

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0705.4023
 http://arxiv.org/abs/0705.4023
 Proc. SPIE 6601, 66010G (2007)
 doi:10.1117/12.724817

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arXiv