𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Characteristics of the order flow through an electronic open limit order book

✍ Scribed by Philip Brown; Nathanial Thomson; David Walsh

Book ID
117699640
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
171 KB
Volume
9
Category
Article
ISSN
1042-4431

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The information content of an open limit
The information content of an open limit-order book
✍ Charles Cao; Oliver Hansch; Xiaoxin Wang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 215 KB

## Abstract Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately in

Measuring the resiliency of an electroni
Measuring the resiliency of an electronic limit order book
✍ Jeremy Large πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 348 KB

An electronic limit order book is resilient when it reverts to its normal shape promptly after large trades. This paper suggests a continuous-time impulse response function based on intensities, which formalizes resiliency in terms of a time-frame and probability of order book replenishment. This is