38,309 research outputs found
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Intertrade duration of equities is an important financial measure
characterizing the trading activities, which 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 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 (MFDFA) 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.Comment: 10 latex pages, 4 figure
Empirical regularities of opening call auction in Chinese stock market
We study the statistical regularities of opening call auction using the
ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock
Exchange in 2003. The distribution of the relative price, defined as the
relative difference between the order price in opening call auction and the
closing price of last trading day, is asymmetric and that the distribution
displays a sharp peak at zero relative price and a relatively wide peak at
negative relative price. The detrended fluctuation analysis (DFA) method is
adopted to investigate the long-term memory of relative order prices. We
further study the statistical regularities of order sizes in opening call
auction, and observe a phenomenon of number preference, known as order size
clustering. The probability density function (PDF) of order sizes could be well
fitted by a -Gamma function, and the long-term memory also exists in order
sizes. In addition, both the average volume and the average number of orders
decrease exponentially with the price level away from the best bid or ask price
level in the limit-order book (LOB) established immediately after the opening
call auction, and a price clustering phenomenon is observed.Comment: 11 pages, 6 figures, 3 table
Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
We consider a few quantities that characterize trading on a stock market in a
fixed time interval: logarithmic returns, volatility, trading activity (i.e.,
the number of transactions), and volume traded. We search for the power-law
cross-correlations among these quantities aggregated over different time units
from 1 min to 10 min. Our study is based on empirical data from the American
stock market consisting of tick-by-tick recordings of 31 stocks listed in Dow
Jones Industrial Average during the years 2008-2011. Since all the considered
quantities except the returns show strong daily patterns related to the
variable trading activity in different parts of a day, which are the best
evident in the autocorrelation function, we remove these patterns by detrending
before we proceed further with our study. We apply the multifractal detrended
cross-correlation analysis with sign preserving (MFCCA) and show that the
strongest power-law cross-correlations exist between trading activity and
volume traded, while the weakest ones exist (or even do not exist) between the
returns and the remaining quantities. We also show that the strongest
cross-correlations are carried by those parts of the signals that are
characterized by large and medium variance. Our observation that the most
convincing power-law cross-correlations occur between trading activity and
volume traded reveals the existence of strong fractal-like coupling between
these quantities
Assessment of 48 Stock markets using adaptive multifractal approach
Stock market comovements are examined using cointegration, Granger causality
tests and nonlinear approaches in context of mutual information and
correlations. Underlying data sets are affected by non-stationarities and
trends, we also apply AMF-DFA and AMF-DXA. We find only 170 pair of Stock
markets cointegrated, and according to the Granger causality and mutual
information, we realize that the strongest relations lies between emerging
markets, and between emerging and frontier markets. According to scaling
exponent given by AMF-DFA, , we find that all underlying data sets
belong to non-stationary process. According to EMH, only 8 markets are
classified in uncorrelated processes at confidence interval. 6 Stock
markets belong to anti-correlated class and dominant part of markets has memory
in corresponding daily index prices during January 1995 to February 2014.
New-Zealand with and Jordan with are far
from EMH. The nature of cross-correlation exponents based on AMF-DXA is almost
multifractal for all pair of Stock markets. The empirical relation, , is confirmed. Mentioned relation for is also
satisfied while for there is a deviation from this relation confirming
behavior of markets for small fluctuations is affected by contribution of major
pair. For larger fluctuations, the cross-correlation contains information from
both local and global conditions. Width of singularity spectrum for
auto-correlation and cross-correlation are and , respectively. The
wide range of singularity spectrum for cross-correlation confirms that the
bilateral relation between Stock markets is more complex. The value of
indicates that all pairs of stock market studied in this time
interval belong to cross-correlated processes.Comment: 16 pages, 13 figures and 4 tables, major revision and match to
published versio
- …