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Proceedings Paper

The limit order book on different time scales
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Paper 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.

Paper Details

Date Published: 15 June 2007
PDF: 11 pages
Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010G (15 June 2007); doi: 10.1117/12.724817
Show Author Affiliations
Zoltán Eisler, Budapest Univ. of Technology and Economics (Hungary)
János Kertész, Budapest Univ. of Technology and Economics (Hungary)
Helsinki Univ. of Technology (Finland)
Fabrizio Lillo, Univ. di Palermo (Italy)
Santa Fe Institute (United States)


Published in SPIE Proceedings Vol. 6601:
Noise and Stochastics in Complex Systems and Finance
János Kertész; Stefan Bornholdt; Rosario N. Mantegna, Editor(s)

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