Eisler, Zoltan; Kertesz, Janos; Lillo, Fabrizio; … - In: Quantitative Finance 9 (2009) 5, pp. 547-563
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all...