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Statistical properties of stock order books: empirical results and models

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  • Jean-Philippe Bouchaud
  • Marc Mezard
  • Marc Potters

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 shape of the average order book, which can be quantitatively reproduced using a 'zero intelligence' numerical model and qualitatively predicted using a simple approximation.

Suggested Citation

  • Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 251-256.
    • Handle: RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256
    DOI: 10.1088/1469-7688/2/4/301
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