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Limit Order Book and Commonality in Liquidity
Financial Review, 2013 We show that the liquidity provided by an individual stock's limit order book comoves significantly with the market aggregate limit order book liquidity.
Wenjin Kang, Huiping Zhang
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2016
A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer.
Abergel, Frédéric +4 more
openaire +1 more source