Statistical properties of stock order books: empirical results and models

5 March 2002

Social sharing

Share via Twitter Share via LinkedIn Share via Email

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.


Marc Mezard , Marc Potters , Adam Rej

Related articles