Statistical properties of stock order books: empirical results and models
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.
Volume (Year): 2 (2002)
Issue (Month): 4 ()
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