文献类型：期刊文献

英文题名：Empirical properties of inter-cancellation durations in the Chinese stock market

作者：Gu, Gao-Feng[1,2];Xiong, Xiong[3,4];Zhang, Wei[3,4];Zhang, Yong-Jie[3,4];Zhou, Wei-Xing[1,2,5]

机构：[1]East China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai, Peoples R China;[3]Tianjin Univ, Inst Syst Engn, Coll Management & Econ, Tianjin, Peoples R China;[4]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin, Peoples R China;[5]East China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai, Peoples R China

年份：2014

卷号：2

起止页码：1

外文期刊名：FRONTIERS IN PHYSICS

收录：EI(收录号：20233514650433);WOS:【ESCI(收录号:WOS:000215935000016)】；

基金：This work was partly supported by National Natural Science Foundation of China(Grants No. 71101052,71131007 and 11075054), Shanghai Rising Star(Follow-up) Program(Grant No. 11QH1400800), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：econophysics; order flow; inter-cancellation duration; probability distribution; memory effect; multifractal nature

摘要：Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events defined as the waiting times between two consecutive cancellations. The inter-cancellation durations for both buy and sell orders of all the stocks favor a q-exponential distribution when the maximum likelihood estimation method is adopted; In contrast, both cancelled buy orders of 6 stocks and cancelled sell orders of 3 stocks prefer Weibull distribution when the non-linear least-squares estimation is used. Applying detrended fluctuation analysis (DFA), centered detrending moving average (CDMA) and multifractal detrended fluctuation analysis (MF-DFA) methods, we unveil that the inter-cancellation duration time series process long memory and multifractal nature for both buy and sell cancellations of all the stocks. Our findings show that order cancellation processes exhibit long-range correlated bursty behaviors and are thus not Poissonian.