Detrended fluctuation analysis of intertrade durations

Zhi-Qiang Jiang, Wei Chen and Wei-Xing Zhou
Additional contact information
Zhi-Qiang Jiang: ECUST
Wei Chen: SZSE

Papers from arXiv.org

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.

Date: 2008-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Physica A 388 (4), 433-440 (2009)

Downloads: (external link)
http://arxiv.org/pdf/0806.2444 Latest version (application/pdf)

Related works:
Journal Article: Detrended fluctuation analysis of intertrade durations (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:arx:papers:0806.2444

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().