Statistical properties of stock order books: empirical results and models

Details Statistical properties of stock order books: empirical results and models Statistical properties of stock order books: empirical results and models

2002-03-25

arxiv.org/abs/cond-mat/0203511v2

Quantitative Finance 2 251-256 (2002).

Physics

Condensed Matter

Revised version, 10 pages, 4 .eps figures. to appear in Quantitative Finance

Scientific paper

10.1088/1469-7688/2/4/301

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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