Studies of the limit order book around large price changes
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activ...
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| Format: | Book |
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Springer-Verlag
2009
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