Statistical properties of stock order books: empirical results and models

Jean-Philippe Bouchaud, Marc Mezard and Marc Potters ()
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Marc Mezard: Universite Paris Sud (Orsay)

No 203511, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

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

JEL-codes: G10 (search for similar items in EconPapers)
Date: 2002-03
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Citations: View citations in EconPapers (167)

Published in Quantitative Finance 2 (August 2002) 251-256

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Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:0203511

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