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Statistical Properties of Stock Order Books: Empirical Results and Models · Study

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PreprintStatistical Properties of Stock Order Books: Empirical Results and Models

Jean‐Philippe Bouchaud2004

OA

Preprintgreen2004

Statistical Properties of Stock Order Books: Empirical Results and Models

Jean‐Philippe Bouchaud · Marc Mézard · Marc Potters

54 citations·0/0 files stored·SSRN Electronic Journal

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2001Empirical properties of asset returns: stylized facts and statistical issues 1999Introduction to Econophysics 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1999Scaling of the distribution of price fluctuations of individual companies 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets 1996The Asymptotic Distribution of Extreme Stock Market Returns 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks 1997Price variations in a stock market with many agents

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2008Modeling stock pinning

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2013Limit order booksarticle · 10 shared references 2011Limit Order Bookspreprint · 10 shared references 2002Statistical properties of stock order books: empirical results and modelsarticle · 8 shared references 2004Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changespreprint · 8 shared references 2002An introduction to statistical financearticle · 7 shared references 2009How Markets Slowly Digest Changes in Supply and Demandchapter · 6 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations54

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.2139/ssrn.507362

openalex_workW2168802397

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