@inproceedings{b2439964335144f2a220a2b40edd7ce3,
title = "The limit order book on different time scales",
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.",
keywords = "Bid-ask spread, Econophysics, Limit order book, Liquidity",
author = "Zolt{\'a}n Eisler and J{\'a}nos Kert{\'e}sz and Fabrizio Lillo",
year = "2007",
doi = "10.1117/12.724817",
language = "English",
isbn = "0819467383",
series = "Proceedings of SPIE - The International Society for Optical Engineering",
booktitle = "Noise and Stochastics in Complex Systems and Finance",
note = "Noise and Stochastics in Complex Systems and Finance ; Conference date: 21-05-2007 Through 24-05-2007",
}