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What is Statistical Properties of Stock Order Books about?

This document summarizes a research article that analyzes statistical properties of stock order books using detailed data from the Paris Bourse stock exchange. The key findings are: (1) The prices at which new limit orders are placed follows a power-law distribution around the current bid and ask prices. (2) The average shape of the order book has a maximum away from the current prices and tails reflecting the incoming order price distributions. (3) The distribution of trading volumes at the bid and ask fol

Author

noelthegenius

Language

EN