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

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  • Cumhur Ekinci

    (CNAM Paris & Aix-Marseille III University)

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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File URL: http://128.118.178.162/eps/fin/papers/0510/0510025.pdf
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Bibliographic 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 Please, do not cite or quote without permission.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://128.118.178.162

Related research

Keywords: order; transaction; order book; trading; microstructure; financial markets; Istanbul Stock Exchange;

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  1. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  2. Frey, Stefan & Grammig, Joachim, 2005. "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers 05-01, University of Cologne, Centre for Financial Research (CFR).
  3. Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005. "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers 05-05, University of Cologne, Centre for Financial Research (CFR).
  4. 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.
  5. 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.
  6. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
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