The limit order book on different time scales
arXiv:0705.4023 · doi:10.1117/12.724817
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.
11 pages, 7 figures, 2 tables, to appear in Proc. SPIE, Fluctuations and Noise 2007, Florence