LONG MEMORY IN STOCK TRADING

Author:

LEONIDOV ANDREI123

Affiliation:

1. Theoretical Physics Department, P.N. Lebedev Physics Institute, 119991 Leninsky pr. 53, Moscow, Russia

2. Netcominvest Financial Investment Company, 109017 Profsoyznaya 3, Moscow, Russia

3. Institute of Theoretical and Experimental Physics, 117259 B. Cheremushkinskaya 25, Moscow, Russia

Abstract

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially non-Markovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period January 2003–September 2003, including correlation between intertrade time intervals is presented. A power-law decay of the correlation function provides an additional evidence of the long-memory nature of the series of times of trades. A data set including all trades in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002 is also considered.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Effects of Exponential Trends on Correlations of Stock Markets;Mathematical Problems in Engineering;2014

2. On distribution of number of trades in different time windows in the stock market;Physica A: Statistical Mechanics and its Applications;2005-08

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