Statistical properties of stock order books: empirical results and models

5 March 2002

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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.

Authors

Marc Mezard , Marc Potters , Jean-Philippe Bouchaud