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Statistical properties of stock order books: empirical results and models

Jean-Philippe Bouchaud, Marc Mezard and Marc Potters

Quantitative Finance, 2002, vol. 2, issue 4, 251-256

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 shape of the average order book, which can be quantitatively reproduced using a 'zero intelligence' numerical model and qualitatively predicted using a simple approximation.

Date: 2002
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Handle: RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256