Yayın:
Limit Order Book Reconstruction and Beyond: An Application to Istanbul Stock Exchange

Basit öğe sayfası
dc.contributor.authorEkinci, Cumhur
dc.date.accessioned2026-01-25T11:28:09Z
dc.date.issued2005-01-01
dc.description.abstractWe discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original approach by incorporating trades into the order book.
dc.description.urihttps://doi.org/10.2139/ssrn.837444
dc.description.urihttps://dx.doi.org/10.2139/ssrn.837444
dc.description.urihttp://econwpa.repec.org/eps/fin/papers/0510/0510025.pdf
dc.identifier.doi10.2139/ssrn.837444
dc.identifier.eissn1556-5068
dc.identifier.openairedoi_dedup___::8a567ae298925b7fd125d9afeedaf564
dc.identifier.urihttps://hdl.handle.net/11527/50752
dc.language.isoeng
dc.publisherElsevier BV
dc.relation.ispartofSSRN Electronic Journal
dc.subjectorder
dc.subjecttransaction
dc.subjectorder book
dc.subjecttrading
dc.subjectmicrostructure
dc.subjectfinancial markets
dc.subjectIstanbul Stock Exchange
dc.titleLimit Order Book Reconstruction and Beyond: An Application to Istanbul Stock Exchange
dc.typeArticle
dspace.entity.typePublication

Dosyalar

Koleksiyonlar

Yayınlar