Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange

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Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange

Author Info

Cumhur Ekinci (CNAM Paris & Aix-Marseille III University)

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Cumhur Ekinci

Abstract

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original approach by incorporating trades into the order book.

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Publisher Info
Paper provided by EconWPA in its series Finance with number 0510025.

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Length: 24 pages
Date of creation: 20 Oct 2005
Date of revision: 24 Oct 2005
Handle: RePEc:wpa:wuwpfi:0510025

Note: Type of Document - pdf; pages: 24. This is a paper about the tools, a kind of 'Discours sur la méthode'. It's not theoretical at all, but would help empirical work. Please, do not cite or quote without permission.
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Web page: http://129.3.20.41

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-10-22 (All new papers)
NEP-FIN-2005-10-22 (Finance)
NEP-FMK-2005-10-22 (Financial Markets)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
Other versions:
- Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January. [Downloadable!] (restricted)
Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, 04. [Downloadable!] (restricted)
Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January. [Downloadable!] (restricted)
Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]

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This page was last updated on 2009-11-17.

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