Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

By Yongping Ruan, Wei‐Xing Zhou. 2010

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The intertrade duration of equities is an important financial measure, characterizing trading activities; it 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 form, 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.

Subfields: Economics and Econometrics, Molecular Biology, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/c0cb3405713fc09785f8c3493e4285866f0e85f2

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