文献类型：期刊文献

英文题名：Detrended fluctuation analysis of intertrade durations

作者：Jiang, Zhi-Qiang[1,2];Chen, Wei[3];Zhou, Wei-Xing[1,2,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China

年份：2009

卷号：388

期号：4

起止页码：433

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20085011783651);WOS:【SSCI(收录号:WOS:000262775600019)，SCI-EXPANDED(收录号:WOS:000262775600019)】；

基金：This work was partly supported by the National Natural Science Foundation of China (Grant nos. 70501011 and 70502007), the Fok Ying Tong Education Foundation (Grant no. 101086), and the Program for New Century Excellent Talents in University (Grant no. NCET-07-0288).

语种：英文

外文关键词：Econophysics; Intertrade duration; Intraday pattern; Long memory; Multifractal nature

摘要：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 a 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 multifractality. (C) 2008 Elsevier B.V. All rights reserved.