Abstract
The order book is the elementary mechanism of price evolution. In fact the order book is literally the book (now it is an electronic register) where the participants’ orders are stored if they are not immediately executable. The order book is a double auction system which records the orders of selling and buying and, in case, matches compatible orders as we are going to see in the next section. In this chapter we describe the mechanism of working of the order books and then we review their main statistical properties.
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Cristelli, M. (2014). Order Book: Introduction and Main Statistical Evidences. In: Complexity in Financial Markets. Springer Theses. Springer, Cham. https://doi.org/10.1007/978-3-319-00723-6_5
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DOI: https://doi.org/10.1007/978-3-319-00723-6_5
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