A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord

Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important

"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri