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Limit Order Book and Commonality in Liquidity

open access: yesFinancial 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.
Huiping Zhang
exaly   +2 more sources

Limit Order Books

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
openaire   +1 more source

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