文献类型：期刊文献

英文题名：Scaling in the distribution of intertrade durations of Chinese stocks

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, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：23

起止页码：5818

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

收录：;EI(收录号：20083211448334);WOS:【SSCI(收录号:WOS:000259417500015)，SCI-EXPANDED(收录号:WOS:000259417500015)】；

基金：We are grateful to Z. Eisler for discussion. This work was partially supported by the National Natural Science Foundation of China (Nos. 70501011 and 70502007), the Fok Ying Tong Education Foundation (No. 101086), the Shanghai Rising-Star Program (No. 06QA14015), and the Program for New Century Excellent Talents in University (No. NCET-07-0288).

语种：英文

外文关键词：econophysics; intertrade duration; Weibull distribution; q-exponential distribution; scaling; Chinese stock markets

摘要：The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also observed in the intertrade duration distributions for filled and partially filled trades and in the conditional distributions. The ensemble distributions for all stocks are modeled by the Weibull and the Tsallis q-exponential distributions. Maximum likelihood estimation shows that the Weibull distribution outperforms the q-exponential for not-too-large intertrade durations which account for more than 98.5% of the data. Alternatively, nonlinear least-squares estimation selects the q-exponential as a better model, in which the optimization is conducted on the distance between empirical and theoretical values of the logarithmic probability densities. The distribution of intertrade durations is Weibull followed by a power-law tail with an asymptotic tail exponent close to 3. (C) 2008 Elsevier B.V. All rights reserved.