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Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
Guo-Hua Mu, Wei Chen, János Kertész +1
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the who…
Detrended fluctuation analysis of intertrade durations
Zhi-Qiang Jiang, Wei Chen, Wei-Xing Zhou
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigate…
Scaling in the distribution of intertrade durations of Chinese stocks
Zhi-Qiang Jiang, Wei Chen, Wei-Xing Zhou
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 Chine…
Empirical shape function of limit-order books in the Chinese stock market
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the She…