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 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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|Date of creation:||Mar 2002|
|Publication status:||Published in Quantitative Finance 2 (August 2002) 251-256|
|Contact details of provider:|| Postal: 6 boulevard Haussmann, 75009 Paris, FRANCE|
Web page: http://www.science-finance.fr/
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- Challet, Damien & Stinchcombe, Robin, 2001.
"Analyzing and modeling 1+1d markets,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 300(1), pages 285-299.
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