This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...

More and more trading venues throughout the world operate as open order book markets. In those exchanges, liquidity is supplied voluntarily by market participants who provide an inflow of limit buy and sell orders. Non-executed orders constitute the limit order book which consists of distinct,...