Scaling and memory in the non-poisson process of limit order cancelation
文献类型：期刊论文
| 作者 | Ni, Xiao-Hui1,2,3; Jiang, Zhi-Qiang1,2,3; Gu, Gao-Feng1,2,3; Ren, Fei1,2,4; Chen, Wei5; Zhou, Wei-Xing1,2,3,4,6 |
| 刊名 | Physica a-statistical mechanics and its applications
 |
| 出版日期 | 2010-07-15 |
| 卷号 | 389期号:14页码:2751-2761 |
| 关键词 | Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2010.02.040 |
| 通讯作者 | Zhou, wei-xing(wxzhou@ecust.edu.cn) |
| 英文摘要 | The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. we investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations, defined as the waiting times between consecutive order cancelations of 22 liquid stocks traded on the shenzhen stock exchange of china in year 2003. three types of cancelations are considered, including cancelation of any limit orders, of buy limit orders and of sell limit orders. we find that the distributions of the inter-cancelation durations of individual stocks can be well modeled by weibulls for each type of cancelation, and the distributions of rescaled durations of each type of cancelations exhibit a scaling behavior for different stocks. complex intra-day patterns are also unveiled in the inter-cancelation durations. the detrended fluctuation analysis (dfa) and the multifractal dfa show that the inter-cancelation durations possess long-term memory and multifractal nature, which are not influenced by the intra-day patterns. no clear crossover phenomenon is observed in the detrended fluctuation functions with respect to the time scale. these findings indicate that the cancelation of limit orders is a non-poisson process, which has potential worth in the construction of order-driven market models. (c) 2010 elsevier b.v. all rights reserved. |
| WOS关键词 | VOLATILITY RETURN INTERVALS ; CHINESE STOCK-MARKET ; DETRENDED FLUCTUATION ANALYSIS ; WAITING-TIME DISTRIBUTION ; FREQUENCY FINANCIAL DATA ; POWER-LAW ; STATISTICAL PROPERTIES ; EMPIRICAL DISTRIBUTION ; INTERTRADE DURATIONS ; FRACTIONAL CALCULUS |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| WOS记录号 | WOS:000278190100009 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2411444 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Zhou, Wei-Xing |
| 作者单位 | 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 4.E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China 5.Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China 6.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ni, Xiao-Hui,Jiang, Zhi-Qiang,Gu, Gao-Feng,et al. Scaling and memory in the non-poisson process of limit order cancelation[J]. Physica a-statistical mechanics and its applications,2010,389(14):2751-2761. |
| APA | Ni, Xiao-Hui,Jiang, Zhi-Qiang,Gu, Gao-Feng,Ren, Fei,Chen, Wei,&Zhou, Wei-Xing.(2010).Scaling and memory in the non-poisson process of limit order cancelation.Physica a-statistical mechanics and its applications,389(14),2751-2761. |
| MLA | Ni, Xiao-Hui,et al."Scaling and memory in the non-poisson process of limit order cancelation".Physica a-statistical mechanics and its applications 389.14(2010):2751-2761. |
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来源：中国科学院大学
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