The limit order book on different time scales

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dc.creatorEisler, Zoltan
dc.creatorKertesz, Janos
dc.creatorLillo, Fabrizio
dc.date2007-05-28
dc.date.accessioned2026-07-07T12:05:14Z
dc.date.available2026-07-07T12:05:14Z
dc.descriptionFinancial 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.
dc.description11 pages, 7 figures, 2 tables, to appear in Proc. SPIE, Fluctuations and Noise 2007, Florence
dc.identifierhttps://arxiv.org/abs/0705.4023
dc.identifierhttp://arxiv.org/abs/0705.4023
dc.identifierProc. SPIE 6601, 66010G (2007)
dc.identifierdoi:10.1117/12.724817
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208324
dc.subjectTrading and Market Microstructure
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleThe limit order book on different time scales
dc.typetext

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