Limit order book dynamics and market impact estimation
This thesis focuses on two closely related areas of liquidity and market impact. The historic limit order book of Stock Exchange Trading Sys- tem (SETS) operated by the London Stock Exchange (LSE) is rebuilt using this framework for empirical analysis of information contained in the limit order book...
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University of Essex
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571506 |