Statistical properties of stock order books: empirical results and models

Jean-Philippe Bouchaud, Marc Mézard, Marc Potters · 2002 · Quantitative Finance

IntermediateHFTEmpiricalFree to read

Limit order placement follows a power law away from the best price and the average book is hump-shaped. Key stylized facts for any simulator.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L2 depth (snapshots) Set what data you have
Themes: Order book models
Assets: Equities
Market: Europe

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Modelling and simulating the order book

← Limit order booksA Stochastic Model for Order Book Dynamics →

Cite

@article{bouchaud2002statistical,
  author = {Bouchaud, Jean-Philippe and Mézard, Marc and Potters, Marc},
  title = {{Statistical properties of stock order books: empirical results and models}},
  journal = {Quantitative Finance},
  year = {2002},
  doi = {10.1088/1469-7688/2/4/301}
}

Bouchaud, J.-P., Mézard, M., & Potters, M. (2002). Statistical properties of stock order books: empirical results and models. Quantitative Finance. https://doi.org/10.1088/1469-7688/2/4/301