Empirical properties of inter-cancellation durations in the Chinese stock market
AbstractOrder cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events defined as the waiting times between two consecutive cancellations. The inter-cancellation durations for both buy and sell orders of all the stocks favor a $q$-exponential distribution when the maximum likelihood estimation method is adopted; In contrast, both cancelled buy orders of 6 stocks and cancelled sell orders of 3 stocks prefer Weibull distribution when the nonlinear least-square estimation is used. Applying detrended fluctuation analysis (DFA), centered detrending moving average (CDMA) and multifractal detrended fluctuation analysis (MF-DFA) methods, we unveil that the inter-cancellation duration time series process long memory and multifractal nature for both buy and sell cancellations of all the stocks. Our findings show that order cancellation processes exhibit long-range correlated bursty behaviors and are thus not Poissonian.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1403.3478.
Date of creation: Mar 2014
Date of revision:
Publication status: Published in Frontiers in Physics 2, 16 (2014)
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-22 (All new papers)
- NEP-FMK-2014-03-22 (Financial Markets)
- NEP-MST-2014-03-22 (Market Microstructure)
- NEP-TRA-2014-03-22 (Transition Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
- J. de Souza & L. G. Moyano & S. M. Duarte Queirós, 2006. "On statistical properties of traded volume in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 50(1), pages 165-168, 03.
- Maskawa, Jun-ichi, 2007. "Correlation of coming limit price with order book in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 90-95.
- F. Lillo, 2007. "Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 55(4), pages 453-459, 02.
- Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
- Mike, Szabolcs & Farmer, J. Doyne, 2008.
"An empirical behavioral model of liquidity and volatility,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 200-234, January.
- Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
- Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
- Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 251-256.
- Jun-ichi Maskawa, 2007. "Correlation of coming limit price with order book in stock markets," Papers physics/0702029, arXiv.org.
- V. Plerou & P. Gopikrishnan & X. Gabaix & L. A. N. Amaral & H. E. Stanley, 2001. "Price fluctuations, market activity and trading volume," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 262-269.
- Ilija Zovko & J Doyne Farmer, 2002. "The power of patience: a behavioural regularity in limit-order placement," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 387-392.
- J. Doyne Farmer & Fabrizio Lillo, 2003. "On the origin of power law tails in price fluctuations," Papers cond-mat/0309416, arXiv.org, revised Jan 2004.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.