What really causes large price changes?
We study the cause of large fluctuations in prices on the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentia...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Published: |
2004
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