LONG MEMORY IN STOCK TRADING

Andrei Leonidov ()
Additional contact information
Andrei Leonidov: Theoretical Physics Department, P.N. Lebedev Physics Institute, 119991 Leninsky pr. 53, Moscow, Russia;

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 07, 879-885

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 correlation between intertrade time intervals is presented. A power-law decay of the correlation function 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.

Keywords: Econophysics; continuous time random walk; long memory (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024904002682
Access to full text is restricted to subscribers

Related works:
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:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002682

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024904002682

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().