Statistical properties of stock order books: empirical results and models

Abstract : 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
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Submitted on : Thursday, January 27, 2005 - 5:07:41 PM
Last modification on : Friday, March 29, 2019 - 11:28:10 AM

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Jean-Philippe Bouchaud, Marc Mézard, Marc Potters. Statistical properties of stock order books: empirical results and models. Quantitative Finance, Taylor & Francis (Routledge), 2002, 2, pp.251-256. ⟨hal-00002329⟩

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