Statistical properties of stock order books: empirical results and models

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dc.creatorBouchaud, J. -P.
dc.creatorMezard, M.
dc.creatorPotters, M.
dc.date2002-03-25
dc.date2002-06-18
dc.date.accessioned2026-07-07T02:44:48Z
dc.date.available2026-07-07T02:44:48Z
dc.descriptionWe 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.
dc.descriptionRevised version, 10 pages, 4 .eps figures. to appear in Quantitative Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/0203511
dc.identifierhttp://arxiv.org/abs/cond-mat/0203511
dc.identifierQuantitative Finance 2 251-256 (2002).
dc.identifierdoi:10.1088/1469-7688/2/4/301
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/19075
dc.subjectCondensed Matter
dc.titleStatistical properties of stock order books: empirical results and models
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