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

24 Pages Posted: 5 Nov 2005

See all articles by Cumhur Ekinci

Cumhur Ekinci

Istanbul Technical University

Date Written: October 24, 2005

Abstract

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

Ekinci, Cumhur, Limit Order Book Reconstruction and Beyond: An Application to Istanbul Stock Exchange (October 24, 2005). Available at SSRN: https://ssrn.com/abstract=837444 or http://dx.doi.org/10.2139/ssrn.837444

Cumhur Ekinci (Contact Author)

Istanbul Technical University ( email )

ITU Isletme Fakultesi - Macka
Istanbul, 34367
Turkey

HOME PAGE: http://akademi.itu.edu.tr/ekincicu/

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