LSE AZN Order Book

The structure of a entities order book (the collection of orders that do not immediately transact with a matching buy or sell) largely influence the size and frequency of price changes. Order book structure can also be used to determine measurable quantities in a stock price such as volatility, liquidity and long memory. This visualization provides a new way to look at order book structure: the vertical axis represents time and the colors on the grid a proportional to the volume of limit orders a distance away from the "current best price". Characterizing this structure can lead to new insights into the behavior of financial systems. View the paper here.