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Statistical properties of stock order books: empirical results and models | | J.-P. Bouchaud
; M. Mezard
; M. Potters
; | | Date: |
25 Mar 2002 | | Journal: | Quantitative Finance 2 251-256 (2002). DOI: 10.1088/1469-7688/2/4/301 | | Subject: | cond-mat | | 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. | | Source: | arXiv, cond-mat/0203511 | | Services: | Forum | Review | PDF | Favorites | |
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