Statistical properties of stock order books: empirical results and models
AbstractWe 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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Bibliographic InfoPaper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 0203511.
Date of creation: Mar 2002
Date of revision:
Publication status: Published in Quantitative Finance 2 (August 2002) 251-256
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Damien Challet & Robin Stinchcombe, 2001.
"Analyzing and modelling 1+1d markets,"
cond-mat/0106114, arXiv.org, revised Jun 2001.
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- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
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