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Studies of the Limit Order Book around Large Price Changes

Name: The Institute for New Economic Thinking at the Oxford Martin School
Address: Eagle House, Walton Well Road, Oxford, Oxfordshire, OX2 6ED, UK
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05 Jan 09

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Tóth, Bence, János Kertész, and J. Doyne Farmer.  'Studies of the Limit Order Book around Large Price Changes'.  Eur. J. Phys. B 71 (2009): 499-510.

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Studies of the Limit Order Book around Large Price Changes

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