文献类型：期刊文献

英文题名：Linear and nonlinear correlations in order aggressiveness of Chinese stocks

作者：Yue, Peng[1,2]; Xu, Hai-Chuan[1,2]; Chen, Wei[3]; Xiong, Xiong[4,5]; Zhou, Wei-Xing[1,2,6]

机构：[1] School of Business, East China University of Science and Technology, Shanghai, 200237, China; [2] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [3] Shenzhen Stock Exchange, 5045 Shennan East Road, Shenzhen, 518010, China; [4] College of Management and Economics, Tianjin University, Tianjin, 300072, China; [5] China Center for Social Computing and Analytics, Tianjin University, Tianjin, 300072, China; [6] Department of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2017

外文期刊名：arXiv

收录：EI(收录号：20200070917)

语种：英文

外文关键词：Commerce

摘要：The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on the order flow data of 43 Chinese stocks, we investigate if there are long-range correlations in the time series of order aggressiveness. The detrending moving average analysis shows that there are crossovers in the scaling behaviors of overall fluctuations and order aggressiveness exhibits linear long-term correlations. We design an objective procedure to determine the two Hurst indexes delimited by the crossover scale. We find no correlations in the short term and strong correlations in the long term for all stocks except for an outlier stock. The long-term correlation is found to depend on several firm specific characteristics. We also find that there are nonlinear long-term correlations in the order aggressiveness when we perform the multifractal detrending moving average analysis. Copyright ? 2017, The Authors. All rights reserved.