Toth, Bence; Kertesz, Janos; Farmer, J. Doyne - arXiv.org - 2009
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 volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the...