The limit order book on different time scales
classification
💱 q-fin.TR
physics.data-anphysics.soc-ph
keywords
booklimitorderscalestimebehaviorcomparecrosses
read the original 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.
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