Statistical properties of stock order books: empirical results and models

Jean-Philippe Bouchaud 1, 2, Marc Mézard 2, 3, Marc Potters 2

Quantitative Finance 2 (2002) 251-256

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

  • 1. Service de Physique Théorique (SPhT),
    CNRS : URA2306 – CEA : DSM/SPHT
  • 2. Science and Finance, CFM,
    Sciences and Finances, CFM
  • 3. Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS),
    CNRS : UMR8626 – Université Paris XI - Paris Sud