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The limit order book on different time scales

Author

Listed:
  • Zoltan Eisler
  • Janos Kertesz
  • Fabrizio Lillo

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.

Suggested Citation

  • Zoltan Eisler & Janos Kertesz & Fabrizio Lillo, 2007. "The limit order book on different time scales," Papers 0705.4023, arXiv.org.
    • Handle: RePEc:arx:papers:0705.4023
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    File URL: http://arxiv.org/pdf/0705.4023
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    References listed on IDEAS

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    1. Sergei Maslov & Mark Mills, 2001. "Price fluctuations from the order book perspective - empirical facts and a simple model," Papers cond-mat/0102518, arXiv.org.
    2. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.
    3. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
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    Citations

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    Cited by:

    1. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
    2. Alex Langnau & Yanko Punchev, 2011. "Stochastic Price Dynamics Implied By the Limit Order Book," Papers 1105.4789, arXiv.org.
    3. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
    4. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.

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