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Statistical properties of stock order books: empirical results and models

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Modified on 2011/08/13 23:54 by Administrator Categorized as Articles

J.-P. Bouchaud, M. Mezard, M. Potters

We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of incoming limit order prices, which follows a power-law around the current price with a diverging mean; and (ii) the humped shape of the average order book, which can be quantitatively reproduced using a `zero intelligence' numerical model, and qualitatively predicted using a simple approximation.

Published by arXiv.org on 6/18/2002

Statistical properties of stock order books: empirical results and models