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We show that the statistics of spreads in real order books is characterizedby an intrinsic asymmetry due to discreteness effects for even or odd values ofthe spread. An analysis of data from the NYSE order book points out thattraders' strategies contribute to this asymmetry. We also investigate thisphenomenon in the framework of a microscopic model and, by introducing anon-uniform deposition mechanism for limit orders, we are able toquantitatively reproduce the asymmetry found in the experimental data.Simulations of our model also show a realistic dynamics with a sort ofintermittent behavior characterized by long periods in which the order book iscompact and liquid interrupted by volatile configurations. The order placementstrategies produce a non-trivial behavior of the spread relaxation dynamicswhich is similar to the one observed in real markets.

Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement