Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.Comment: 12 Elsart pages including 7 eps figure

Effect of finite computational domain on turbulence scaling law in both physical and spectral spaces

The well-known translation between the power law of the energy spectrum and that of the correlation function or the second order structure function has been widely used in analyzing random data. Here, we show that the translation is valid only in proper scaling regimes. The regimes of valid translation are different for the correlation function and the structure function. Indeed, they do not overlap. Furthermore, in practice, the power laws exist only for a finite range of scales. We show that this finite range makes the translation inexact even in the proper scaling regime. The error depends on the scaling exponent. The current findings are applicable to data analysis in fluid turbulence and other stochastic systems

Is the f0(600)f_0(600) meson a dynamically generated resonance? -- a lesson learned from the O(N) model and beyond

O(N) linear $\sigma$ model is solvable in the large $N$ limit and hence provides a useful theoretical laboratory to test various unitarization approximations. We find that the large $N_c$ limit and the $m_\sigma\to \infty$ limit do not commute. In order to get the correct large $N_c$ spectrum one has to firstly take the large $N_c$ limit. We argue that the $f_0(600)$ meson may not be described as generated dynamically. On the contrary, it is most appropriately described at the same level as the pions, i.e, both appear explicitly in the effective lagrangian. Actually it is very likely the $\sigma$ meson responsible for the spontaneous chiral symmetry breaking in a lagrangian with linearly realized chiral symmetry.Comment: 15 pages, 3 figurs; references added; discussions slightly modified; revised version accepted by IJMP