搜索结果: 1-1 共查到“广义价格学 large price changes”相关记录1条 . 查询时间(0.171 秒)
Studies of the limit order book around large price changes
limit order book large price changes
2010/10/29
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volat...