文献类型：期刊文献

英文题名：Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

作者：Ruan, Yong-Ping[1,2];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China

年份：2011

卷号：390

期号：9

起止页码：1646

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

收录：;EI(收录号：20110913713853);WOS:【SSCI(收录号:WOS:000289025900015)，SCI-EXPANDED(收录号:WOS:000289025900015)】；

基金：We thank Zhi-Qiang Jiang for preprocessing the data. We acknowledge financial support from the Natural Science Foundation of China (Grant No. 70803010), the Program for New Century Excellent Talents in University (Grant No. NCET-07-0288) and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Stock and warrant; Intertrade duration; Correlation; Multifractal analysis

摘要：The intertrade duration of equities is an important financial measure, characterizing trading activities; it is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese stock and its associated warrant, we perform a comparative investigation of the statistical properties of their intertrade duration time series. The distributions of the two equities can be better described by the shifted power-law form than the Weibull form, and their scaled distributions do not collapse onto a single curve. Although the intertrade durations of the two equities have very different magnitude, their intraday patterns exhibit very similar shapes. Both detrended fluctuation analysis (DFA) and detrending moving average analysis (DMA) show that the 1 min intertrade duration time series of the two equities are strongly correlated. In addition, both multifractal detrended fluctuation analysis (MEDEA) and multifractal detrending moving average analysis (MFDMA) unveil that the 1 min intertrade durations possess multifractal nature. However, the difference between the two singularity spectra of the two equities obtained from the MFDMA is much smaller than that from the MFDFA. (C) 2011 Elsevier B.V. All rights reserved.