Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange
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.
|Date of creation:||20 Oct 2005|
|Date of revision:||24 Oct 2005|
|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 Please, do not cite or quote without permission.|
|Contact details of provider:|| Web page: http://126.96.36.199|
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- 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.
- 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).
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"Order Aggressiveness and Order Book Dynamics,"
FRU Working Papers
2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
- 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.
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