#market-depth

2 articles

The CFTC and SEC report on 6 May 2010: a USD 4.1 billion sell algorithm, order-book depth down to under 1%, and why prices snapped back.

17 October 2026·5 min read·29 views·1 source

The Cont–Kukanov–Stoikov study of 50 stocks: net order flow at the best bid and ask explains short-term price changes. Formula, example, limits.

29 September 2026·4 min read·33 views·1 source