Statistical properties of stock order books: Empirical results and models

Quantitative Finance

Volumn 2, Issue 4, 2002, Pages 251-256

  Bouchaud, Jean Philippe ^a,b   Mézard, Marc ^b,c   Potters, Marc ^b  

^a CEA SACLAY   (France)

^b Science and Finance   (France)

^c UNIVERSITÉ PARIS SUD   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008814948     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/2/4/301     Document Type: Article

References (21)

1. For a recent review, see: Cont R 2001 Quantitative Finance 1 223 and references therein
2. Bouchaud J-P and Potters M 1997 Th´eorie des Risques Financiers Aléa-Saclay Bouchaud J-P and Potters M 2000 Theory of Financial Risks (Cambridge: Cambridge University Press)
3. Mantegna R and Stanley H E 1999 An Introduction to Econophysics (Cambridge: Cambridge University Press)
4. Plerou V, Gopikrishnan P, Amaral L A, Meyer M and Stanley H E 1999 Phys. Rev. E 60 6519
5. Lux T 1996 Appl. Financial Economics 6 463
6. Guillaume D M, Dacorogna M M, Dav´e R D, M¨uller U A, Olsen R B and Pictet O V 1997 Finance Stochastics 1 95
7. For a review, see e.g. Muzy J F, Delour J and Bacry E 2000 Eur. Phys. J. B 17 537–48 and references therein
8. Longin F 1996 J. Business 69 383
9. Biais B, Hilton P and Spatt C 1995 An empirical analysis of the limit order book and the order flow in the Paris Bourse J. Finance 50 1655
10. Maslov S 2000 Simple model of a limit order-driven market Physica A 278 571
11. Maslov S and Millis M 2001 Price fluctuations from the order book perspective—empirical facts and a simple model Physica A 299 234
12. Challet D and Stinchcombe R 2001 Analyzing and modelling 1 + 1d markets Physica A 300 285
13. Bak P, Paczuski M and Shubik M 1997 Physica A 246 430
14. Chan D L C, Eliezer D and Kogan I I 2001 Numerical analysis of the minimal and two-liquid models of the market microstructure Preprint cond-mat/0101474
15. Luckock H 2001 A statistical model of a limit order market Sidney University preprint
16. Slanina F 2001 Mean-field approximation for a limit order driven market model Preprint cond-mat/0104547
17. Daniels M G, Farmer J D, Iori G and Smith E 2001 How storing supply and demand affects price diffusion Preprint cond-mat/0112422
18. Such a broad distribution, with very far away limit orders, was also found for British stocks. Farmer J D 2002 Private communication
19. Zovko I and Farmer J D 2002 Preprint cond-mat/0206280 Note that these authors find μ ≈ 1.5
20. Gopikrishnan P, Plerou V, Gabaix X and Stanley H E 2000 Statistical properties of share volume traded in financial markets Phys. Rev. E 62 R4493
21. Bouchaud J P, Mézard M and Potters M in preparation