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Statistical properties of stock order books: empirical results and models

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  • Jean-Philippe Bouchaud

    (Science & Finance, Capital Fund Management
    CEA Saclay;)

  • Marc Mezard

    (Universite Paris Sud (Orsay))

  • Marc Potters

    (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

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Bibliographic Info

Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 0203511.

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Date of creation: Mar 2002
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Publication status: Published in Quantitative Finance 2 (August 2002) 251-256
Handle: RePEc:sfi:sfiwpa:0203511

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  1. Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.
  2. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
  3. Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
  4. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1655-89, December.
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