112 citations · 354 across the 10 of their papers we have counts for
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q-fin.TR2010
Limit Order Books
Martin D. Gould, Mason A. Porter, Stacy Williams +3
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empir…
q-fin.TR2009★ 5 cited
Dynamical Clustering of Exchange Rates
Daniel J. Fenn, Mason A. Porter, Peter J. Mucha +4
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node rep…