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Long Memory in Stock Trading

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  • Andrei Leonidov

Abstract

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period January 2003 - September 2003, including that of correlation between intertrade time intervals is presented. A power-law decay of the correlation provides an additional evidence of the long-memory nature of the series of times of trades. A data set including all trades in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002 is also considered.

Suggested Citation

  • Andrei Leonidov, 2003. "Long Memory in Stock Trading," Papers cond-mat/0303222, arXiv.org, revised Feb 2004.
    • Handle: RePEc:arx:papers:cond-mat/0303222
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    Cited by:

    1. Dremin, I.M. & Leonidov, A.V., 2005. "On distribution of number of trades in different time windows in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 388-402.

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