Construct · 1 fields · 1 citations

book: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed
book1 CONSTRUCTOrder bookBIAIS · LIMIT ORDERS

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Market microstructure

The queue of resting buy and sell orders

In market microstructure, the book is the limit order book: the live, price-ordered record of all unexecuted buy and sell orders resting at each price, against which incoming market orders trade and from which the best bid and ask are read. A trader also speaks of “my book” as the set of positions being carried. Biais, Hillion, and Spatt’s 1995 study of the Paris Bourse analysed the shape and dynamics of this order book and the order flow around it. The referent is a dynamic queue of trading intentions, unrelated to a musical’s script or a firm’s ledgers.[1]

Unit
The resting order volume available at each price level
Recovery means
Not applicable
Measured by
Described by depth at each price, the bid–ask spread, and order-flow dynamics

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Nearby constructs

component3 fields · 5 citationsjingle · one word, three constructsflow6 names · 12 citationsjangle · five names, one experience, partly

References

  1. Biais, B., Hillion, P., & Spatt, C. (1995). An empirical analysis of the limit order book and the order flow in the Paris Bourse. The Journal of Finance, 50(5), 1655–1689. https://doi.org/10.1111/j.1540-6261.1995.tb05192.x

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