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Statistical properties of stock order books: empirical results and models

J. -P. Bouchaud·M. Mezard·M. Potters
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Abstract

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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J. -P. Bouchaud, M. Mezard, M. Potters. 2002-06-18. Statistical properties of stock order books: empirical results and models. https://doi.org/10.1088/1469-7688%2F2%2F4%2F301

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