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Detrended fluctuation analysis of intertrade durations

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  • Zhi-Qiang Jiang

    (ECUST)

  • Wei Chen

    (SZSE)

  • Wei-Xing Zhou

    (ECUST)

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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 the 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 multifractaility.

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    File URL: http://arxiv.org/pdf/0806.2444
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 0806.2444.

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    Date of creation: Jun 2008
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    Publication status: Published in Physica A 388 (4), 433-440 (2009)
    Handle: RePEc:arx:papers:0806.2444

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    Web page: http://arxiv.org/

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    1. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
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