We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

Bu makale son yirmi yılda finans literatüründe geniş yer bulan ‘piyasa mikroyapısı’ kavramını genel hatlarıyla ele almakta, kuramsal ve uygulamalı çalışmaları çeşitli alt başlıklar halinde sunmaktadır

We analyze and compare the intradaily patterns of two French and three American stocks with a special emphasis to the first trading hour (Presentation at the INSEEC Colloquium 2005)

This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility...