1,394 research outputs found
Scaling in the distribution of intertrade durations of Chinese stocks
The distribution of intertrade durations, defined as the waiting times
between two consecutive transactions, is investigated based upon the limit
order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock
Exchange in the whole year 2003. A scaling pattern is observed in the
distributions of intertrade durations, where the empirical density functions of
the normalized intertrade durations of all 23 stocks collapse onto a single
curve. The scaling pattern is also observed in the intertrade duration
distributions for filled and partially filled trades and in the conditional
distributions. The ensemble distributions for all stocks are modeled by the
Weibull and the Tsallis -exponential distributions. Maximum likelihood
estimation shows that the Weibull distribution outperforms the -exponential
for not-too-large intertrade durations which account for more than 98.5% of the
data. Alternatively, nonlinear least-squares estimation selects the
-exponential as a better model, in which the optimization is conducted on
the distance between empirical and theoretical values of the logarithmic
probability densities. The distribution of intertrade durations is Weibull
followed by a power-law tail with an asymptotic tail exponent close to 3.Comment: 16 elsart pages including 3 eps figure
Online-offline activities and game-playing behaviors of avatars in a massive multiplayer online role-playing game
Massive multiplayer online role-playing games (MMORPGs) are very popular in
China, which provides a potential platform for scientific research. We study
the online-offline activities of avatars in an MMORPG to understand their
game-playing behavior. The statistical analysis unveils that the active avatars
can be classified into three types. The avatars of the first type are owned by
game cheaters who go online and offline in preset time intervals with the
online duration distributions dominated by pulses. The second type of avatars
is characterized by a Weibull distribution in the online durations, which is
confirmed by statistical tests. The distributions of online durations of the
remaining individual avatars differ from the above two types and cannot be
described by a simple form. These findings have potential applications in the
game industry.Comment: 6 EPL pages including 10 eps figure
Profitability of contrarian strategies in the Chinese stock market
This paper reexamines the profitability of loser, winner and contrarian
portfolios in the Chinese stock market using monthly data of all stocks traded
on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period
from January 1997 to December 2012. We find evidence of short-term and
long-term contrarian profitability in the whole sample period when the
estimation and holding horizons are 1 month or longer than 12 months and the
annualized returns of contrarian portfolios increases with the estimation and
holding horizons. We perform subperiod analysis and find that the long-term
contrarian effect is significant in both bullish and bearish states while the
short-term contrarian effect disappears in bullish states. We compare the
performance of contrarian portfolios based on different grouping manners in the
estimation period and unveil that decile grouping outperforms quintile grouping
and tertile grouping, which is more evident and robust in the long run.
Generally, loser portfolios and winner portfolios have positive returns and
loser portfolios perform much better than winner portfolios. Both loser and
winner portfolios in bullish states perform better than those in the whole
sample period. In contrast, loser and winner portfolios have smaller returns in
bearish states in which loser portfolio returns are significant only in the
long term and winner portfolio returns become insignificant. These results are
robust to the one-month skipping between the estimation and holding periods and
for the two stock exchanges. Our findings show that the Chinese stock market is
not efficient in the weak form. These findings also have obvious practical
implications for financial practitioners.Comment: 24 pages (including 4 figures and 9 tables) + 5 supplementary figures
+ 10 supplementary table
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