Work

Statistical properties of stock order books: empirical results and models

Year: 2002

Type: article

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.

Source: Quantitative Finance

DOI: 10.1088/1469-7688/2/4/301

Authors: Jean-Philippe Bouchaud, Marc Mézard, Marc Potters

Institutions: Commissariat à l'Énergie Atomique et aux Énergies Alternatives, Université Paris-Sud, Laboratoire de Physique Théorique et Modèles Statistiques, Capital Fund Management (France)

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2950642112

FWCI: 24.36

Cites: 21

Cited by: 374

Related to: 10