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Detrended fluctuation analysis of intertrade durations

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  • Jiang, Zhi-Qiang
  • Chen, Wei
  • Zhou, Wei-Xing
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    Abstract

    The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse U-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on a detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractality.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 388 (2009)
    Issue (Month): 4 ()
    Pages: 433-440

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    Handle: RePEc:eee:phsmap:v:388:y:2009:i:4:p:433-440

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    Keywords: Econophysics; Intertrade duration; Intraday pattern; Long memory; Multifractal nature;

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    1. Jiang, Zhi-Qiang & Ren, Fei & Gu, Gao-Feng & Tan, Qun-Zhao & Zhou, Wei-Xing, 2010. "Statistical properties of online avatar numbers in a massive multiplayer online role-playing game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 807-814.
    2. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.
    3. Huang, Alex YiHou & Hu, Wen-Cheng, 2012. "Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1497-1508.
    4. Ruan, Yong-Ping & Zhou, Wei-Xing, 2011. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
    5. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
    6. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    7. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    8. Chen, Hongtao & Wu, Chongfeng, 2011. "Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2926-2935.

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