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

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 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we inv...

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Bibliographic Details
Main Authors: Gao-Feng eGu, Xiong eXiong, Wei eZhang, Yong-Jie eZhang, Wei-Xing eZhou
Format: Article
Language:English
Published: Frontiers Media S.A. 2014-03-01
Series:Frontiers in Physics
Subjects:
econophysics
Probability distribution
Order flow
inter-cancellation duration
Memory effect
Multifractal nature
Online Access:http://journal.frontiersin.org/Journal/10.3389/fphy.2014.00016/full

Internet

http://journal.frontiersin.org/Journal/10.3389/fphy.2014.00016/full

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