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Table Of Contents

Chapter1
Introduction
1.1 The London Stock Exchange and the
1.1.1 Trading day
1.1.2 Member firms
1.1.3 The LSE dataset, preparation and cleaning
1.2 Summary of chapters
2.1 Introduction
2.3 Properties of relative limit order prices
2.3.1 Unconditional distribution
2.3.2 Time series properties
2.4 Volatility clustering
2.5 Conclusion
markets
3.1.1 Continuous double auction
3.1.2 Review of the model
3.1.3 Predictions of the model
3.2 Testing the scaling laws
3.2.1 Data
3.2.2 Testing procedure
3.2.3 Spread
3.2.4 Price diffusion rate
3.3 Average market impact
3.4 Conclusions
3.5 Supplementary Material
3.5.1 Literature review
3.5.2 Dimensional analysis
3.5.3 The London Stock Exchange (LSE) data set
3.5.4 Opening auction, real order types, time
3.5.5 Measurement of model parameters
3.5.6 Estimating the errors for the regressions
3.5.7 Market impact
3.5.8 Extending the model
4.1 Introduction
4.1.1 The LSE dataset
4.1.2 Measuring correlations between strategies
4.2.2 Bootstrapping the largest eigenvalues
4.2.3 Clustering of trading behaviour
4.2.4 Time persistence of correlations
4.3 Conclusions
order sizes at the London
5.1 Introduction
5.2 Distribution of order sizes
5.4 Conclusions
Conclusions
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TopicsMarketMicrostr

TopicsMarketMicrostr

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Published by Dimitra Kaiafa

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Published by: Dimitra Kaiafa on Jul 21, 2011
Copyright:Attribution Non-commercial

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08/18/2013

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