Empirical properties of inter-cancellation durations in the Chinese stock market

Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events defined as the waiting times between two consecutive cancellations. The inter-cancellation durations for both buy and sell orders of all the stocks favor a $q$-exponential distribution when the maximum likelihood estimation method is adopted; In contrast, both cancelled buy orders of 6 stocks and cancelled sell orders of 3 stocks prefer Weibull distribution when the nonlinear least-square estimation is used. Applying detrended fluctuation analysis (DFA), centered detrending moving average (CDMA) and multifractal detrended fluctuation analysis (MF-DFA) methods, we unveil that the inter-cancellation duration time series process long memory and multifractal nature for both buy and sell cancellations of all the stocks. Our findings show that order cancellation processes exhibit long-range correlated bursty behaviors and are thus not Poissonian.Comment: 14 pages, 7 figures and 5 table

Energy Dependence of Direct-Quarkonium Production in pp Collisions from Fixed-Target to LHC Energies: Complete One-Loop Analysis

We compute the energy dependence of the P_T-integrated cross section of directly produced quarkonia in pp collisions at next-to-leading order (NLO), namely up to alpha_s^3, within nonrelativistic QCD (NRQCD). Our analysis is based on the idea that the P_T-integrated and the P_T-differential cross sections can be treated as two different observables. The colour-octet NRQCD parameters needed to predict the P_T-integrated yield can thus be extracted from the fits of the P_T-differential cross sections at mid and large P_T. For the first time, the total cross section is evaluated in NRQCD at full NLO accuracy using the recent NLO fits of the P_T-differential yields at RHIC, the Tevatron and the LHC. Both the normalisation and the energy dependence of the J/psi, psi' and Upsilon(1S), we obtained, are in disagreement with the data irrespective of the fit method. The same is true if one uses CEM-like colour-octet NRQCD parameters. If, on the contrary, one disregards the colour-octet contribution, the existing data in the TeV range are well described by the alpha_s^3 contribution in the colour-singlet model --which, at alpha_s^4, however shows an unphysical energy dependence. A similar observation is made for eta(c,b). This calls for a full NNLO or for a resummation of the initial-state radiation in this channel. In any case, past claims that colour-octet transitions are dominantly responsible for low-P_T quarkonium production are not supported by our results. This may impact the interpretation of quarkonium suppression in high-energy proton-nucleus and nucleus-nucleus collisions.Comment: 15 pages, 22 Figures, LaTeX uses svepjc3.clo, svglov3.clo, svjour3.cls (included