The limit order book on different time scales

Zoltán Eisler, János Kertész, Fabrizio Lillo

Research output: Contribution to Book/Report typesConference contributionpeer-review

Abstract (may include machine translation)

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.

Original languageEnglish
Title of host publicationNoise and Stochastics in Complex Systems and Finance
DOIs
StatePublished - 2007
Externally publishedYes
EventNoise and Stochastics in Complex Systems and Finance - Florence, Italy
Duration: 21 May 200724 May 2007

Publication series

NameProceedings of SPIE - The International Society for Optical Engineering
Volume6601
ISSN (Print)0277-786X

Conference

ConferenceNoise and Stochastics in Complex Systems and Finance
Country/TerritoryItaly
CityFlorence
Period21/05/0724/05/07

Keywords

  • Bid-ask spread
  • Econophysics
  • Limit order book
  • Liquidity

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