Scaling and memory in the non-Poisson process of limit order cancelation

Xiao-Hui Ni, Zhi-Qiang Jiang, Gao-Feng Gu, Fei Ren, Wei Chen and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 14, 2751-2761

Abstract: The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations, defined as the waiting times between consecutive order cancelations of 22 liquid stocks traded on the Shenzhen Stock Exchange of China in year 2003. Three types of cancelations are considered, including cancelation of any limit orders, of buy limit orders and of sell limit orders. We find that the distributions of the inter-cancelation durations of individual stocks can be well modeled by Weibulls for each type of cancelation, and the distributions of rescaled durations of each type of cancelations exhibit a scaling behavior for different stocks. Complex intra-day patterns are also unveiled in the inter-cancelation durations. The detrended fluctuation analysis (DFA) and the multifractal DFA show that the inter-cancelation durations possess long-term memory and multifractal nature, which are not influenced by the intra-day patterns. No clear crossover phenomenon is observed in the detrended fluctuation functions with respect to the time scale. These findings indicate that the cancelation of limit orders is a non-Poisson process, which has potential worth in the construction of order-driven market models.

Keywords: Econophysics; Inter-cancelation duration; Scaling; Long memory; Multifractal nature (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437110001676
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
Working Paper: Scaling and memory in the non-poisson process of limit order cancelation (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:14:p:2751-2761

DOI: 10.1016/j.physa.2010.02.040

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().