証券取引における気配・約定情報 [in Japanese] Information of Securities Transactions [in Japanese]
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Securities exchanges provide the public with information about quotes and executions, which is referred to as tick-by-tick data. In regard to the Tokyo Stock Exchange, this article explains how orders are executed, what kind of information is released to the public, and how we can estimate orders submitted to the exchange by tick-by-tick data.
経済科学 52(2), 21-40, 2004-09-30