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.ST2010★ 112 cited
Temporal Evolution of Financial Market Correlations
Daniel J. Fenn, Mason A. Porter, Stacy Williams +3
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of as…