文献类型：期刊文献

英文题名：Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations

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

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]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China

年份：2012

卷号：98

期号：3

外文期刊名：EPL

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000304389300039)】；

基金：This work was partially supported by NSFC (10905023, 11075054, 71101052 and 71131007), Humanities and Social Sciences Fund sponsored by Ministry of Education of China (09YJCZH042), Program for Changjiang Scholars and Innovative Research Team in University (IRT1028), Shanghai Chenguang Program (2010CG32), Zhejiang Provincial NSFC (Z6090130), and Fundamental Research Funds for the Central Universities.

语种：英文

摘要：Understanding the statistical properties of recurrence intervals (also termed return intervals in econophysics literature) of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been extensively investigated. However, the impacts of microscopic rules of a complex system on the macroscopic properties of its recurrence intervals are less studied. In this letter, we adopt an order-driven stock model to address this issue for stock returns. We find that the distributions of the scaled recurrence intervals of simulated returns have a power-law scaling with stretched exponential cutoff and the intervals possess multifractal nature, which are consistent with empirical results. We further investigate the effects of long memory in the directions (or signs) and relative prices of the order flow on the characteristic quantities of these properties. It is found that the long memory in the order directions (Hurst index H-s) has a negligible effect on the interval distributions and the multifractal nature. In contrast, the power-law exponent of the interval distribution increases linearly with respect to the Hurst index H-x of the relative prices, and the singularity width of the multifractal nature fluctuates around a constant value when H-x < 0.7 and then increases with H-x. No evident effects of H-s and H-x are found on the long memory of the recurrence intervals. Our results indicate that the nontrivial properties of the recurrence intervals of returns are mainly caused by traders' behaviors of persistently placing new orders around the best bid and ask prices. Copyright (C) EPLA, 2012