Limit Order Book Reconstruction and Beyond: An Application to Istanbul Stock Exchange
24 Pages Posted: 5 Nov 2005
Date Written: October 24, 2005
We 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.
Keywords: order, transaction, order book, trading, microstructure, financial markets, Istanbul Stock Exchange
JEL Classification: G10
Suggested Citation: Suggested Citation