Statistical properties of stock order books: empirical results and models
arXiv:cond-mat/0203511 · doi:10.1088/1469-7688/2/4/301
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.
Revised version, 10 pages, 4 .eps figures. to appear in Quantitative Finance