most citedPrice fluctuations from the order book perspective - empirical facts and a simple model

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cond-mat.stat-mech2001★ 154 cited

Price fluctuations from the order book perspective - empirical facts and a simple model

Sergei Maslov, Mark Mills

Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distrib…