The limit order book on different time scales

@inproceedings{Eisler2007TheLO,
  title={The limit order book on different time scales},
  author={Zolt{\'a}n Eisler and J{\'a}nos Kert{\'e}sz and Fabrizio Lillo},
  booktitle={SPIE International Symposium on Fluctuations and Noise},
  year={2007}
}
  • Zoltán Eisler, János Kertész, Fabrizio Lillo
  • Published in
    SPIE International Symposium…
    2007
  • Economics, Physics, Engineering
  • 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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