Kaniel, Ron (contributor); Liu, Hong (contributor) - 2006
in the limit order
book.
Next, we briefly describe some relevant features of the data and the con-
struction of event … series for each of the securities in the TORQ data set.
A. Data and Construction of Event Series
The TORQ database covers 144 … conduct require us to construct from the data set a
detailed time series of events for each of the securities.
13
Each event …