2002/03/31 by Jean-Philippe Bouchaud, J. -P. Bouchaud, Marc Mézard +3 · 8 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #cond-mat
paper · pdf · doi:10.1088/1469-7688/2/4/301
published as Quantitative Finance 2 251-256 (2002). · Revised version, 10 pages, 4 .eps figures. to appear in Quantitative Finance
arxiv created 2002/06/18 · openalex publication_date 2002/08/01 · arxiv updated 2009/11/30 · openalex created_date 2019/06/27 · openalex updated_date 2026/08/01
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.