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Statistical Properties of Stock Order Books: Empirical Results and Models
Jean-Philippe Bouchaud Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC); Capital Fund Management - Department of Science and Finance Marc Mezard Université Paris XI Sud - LPSMS Marc Potters Capital Fund Management - Department of Science and Finance December 2, 2002 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.
Keywords: Financial markets, order book, market microstructure JEL Classifications: G10 Working Paper SeriesDate posted: February 27, 2004 ; Last revised: March 10, 2004Suggested CitationContact Information
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