文献类型：期刊文献

英文题名：LINEAR AND NONLINEAR CORRELATIONS IN THE 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]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Shenzhen Stock Exchange, 5045 Shennan East Rd, Shenzhen 518010, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[5]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China;[6]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2017

卷号：25

期号：5

外文期刊名：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

收录：;EI(收录号：20173304042707);WOS:【SSCI(收录号:WOS:000409223800004)，SCI-EXPANDED(收录号:WOS:000409223800004)】；

基金：We acknowledge financial supports from the National Natural Science Foundation of China (71532009, 71501072, 71571121 and 71671066) and the Fundamental Research Funds for the Central Universities (222201718006).

语种：英文

外文关键词：Econophysics; Detrending Moving Average Analysis; Fractal Analysis; Order Aggressiveness; Order Flow

摘要：The diagonal effect of orders is well documented in different markets, which states that the orders are more likely to be followed by the 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.