The limit order book on different time scales

Proceedings of SPIE - The International Society for Optical Engineering

Volumn 6601, Issue , 2007, Pages

  Eisler, Zoltán ^a   Kertész, János ^a,b   Lillo, Fabrizio ^c,d  

^a BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

^b AALTO UNIVERSITY   (Finland)

^c UNIVERSITY OF PALERMO   (Italy)

^d SANTA FE INSTITUTE   (United States)

Author keywords

Bid ask spread; Econophysics; Limit order book; Liquidity

Indexed keywords

BEHAVIORAL RESEARCH; DATA HANDLING; LARGE SCALE SYSTEMS; MARKETING; MICROSTRUCTURE;

BID-ASK SPREAD; ECONOPHYSICS; LIMIT ORDER BOOK; LIQUIDITY; LONDON STOCK EXCHANGE;

FINANCE;

EID: 36249007559     PISSN: 0277786X     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1117/12.724817     Document Type: Conference Paper

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