Characterizing limit order books in call auctions of a stock market.
Statistical and dynamical characteristics of stock markets have been extensively studied, providing a solid basis for econophysics and its application as "stylized facts". However, most of those studies are for markets under the continuous auction, i.e., trades are executed sequentially. T...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2025-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0327430 |
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