Empirical properties of inter-cancellation durations in the Chinese stock market
arXiv:1403.3478 · doi:10.3389/fphy.2014.00016
Abstract
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 -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.
arXiv comment14 pages, 7 figures and 5 tables
References in corpus (42)
- Multifractal detrended fluctuation analysis of nonstationary time series
- Fractional calculus and continuous-time finance
- Waiting-times and returns in high-frequency financial data: an empirical study
- Fractional calculus and continuous-time finance II: the waiting-time distribution
- Statistical Properties of Share Volume Traded in Financial Markets
- More statistical properties of order books and price impact
- Statistical properties of stock order books: empirical results and models
- Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
- Calling patterns in human communication dynamics
- A continuous time random walk model for financial distributions
- A quantitative model of trading and price formation in financial markets
- Common Scaling Patterns in Intertrade Times of U. S. Stocks
- Scaling and memory of intraday volatility return intervals in stock market
- Detrending Moving Average variance: a derivation of the scaling law
- Size matters: some stylized facts of the stock market revisited
- Emergence of long memory in stock volatility from a modified Mike-Farmer model
- The continuous time random walk formalism in financial markets
- Scaling in the distribution of intertrade durations of Chinese stocks
- Indication of multiscaling in the volatility return intervals of stock markets
- On the distribution of high-frequency stock market traded volume: a dynamical scenario
- Universal price impact functions of individual trades in an order-driven market
- On the probability distribution of stock returns in the Mike-Farmer model
- Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
- Power law for the calm-time interval of price changes
- Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
- Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
- Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
- Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
- Statistical properties of volatility return intervals of Chinese stocks
- Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
- Volatility return intervals analysis of the Japanese market
- On statistical properties of traded volume in financial markets
- Determinants of immediate price impacts at the trade level in an emerging order-driven market
- On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
- Scaling and memory in the return intervals of realized volatility
- Recurrence interval analysis of trading volumes
- Multiscaling behavior in the volatility return intervals of Chinese indices
- Empirical regularities of order placement in the Chinese stock market
- Empirical regularities of opening call auction in Chinese stock market
- Scaling and memory in the return intervals of energy dissipation rate in three-dimensional fully developed turbulence
- Correlation of coming limit price with order book in stock markets
- Scaling and memory in the non-poisson process of limit order cancelation