PMID: 15244883Jul 13, 2004Paper

Common scaling patterns in intertrade times of U. S. stocks

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
Plamen Ch IvanovYoungki Lee

Abstract

We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U.S. economy over a period of 4 yrs. For all companies we find that: (i) the probability density function of intertrade times may be fit by a Weibull distribution, (ii) when appropriately rescaled the probability densities of all companies collapse onto a single curve implying a universal functional form, (iii) the intertrade times exhibit power-law correlated behavior within a trading day and a consistently greater degree of correlation over larger time scales, in agreement with the correlation behavior of the absolute price returns for the corresponding company, and (iv) the magnitude series of intertrade time increments is characterized by long-range power-law correlations suggesting the presence of nonlinear features in the trading dynamics, while the sign series is anticorrelated at small scales. Our results suggest that independent of industry sector, market capitalization and average level of trading activity, the series of intertrade times exhibit possibly universal scaling patterns, which may relate to a common mechanism underlying the trading dynamics of diverse companies. Further, our obser...Continue Reading

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Citations

Jan 1, 2005·Journal of Biological Physics·Ana V Coronado, Pedro Carpena
Jan 16, 2013·Proceedings of the National Academy of Sciences of the United States of America·Zhi-Qiang JiangH Eugene Stanley
Apr 5, 2014·PloS One·Plamen Ch IvanovPandelis Perakakis
Nov 3, 2016·Chaos·Ingo Laut, Christoph Räth
Jan 20, 2018·Physical Review. E·Hang-Hyun Jo
Feb 12, 2019·Scientific Reports·Thorsten RingsKlaus Lehnertz
Aug 11, 2005·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Limei XuH Eugene Stanley
Dec 31, 2005·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Miquel MonteroRosario N Mantegna
Apr 12, 2006·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Fengzhong WangH Eugene Stanley
Mar 21, 2008·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Fengzhong WangH Eugene Stanley
Apr 7, 2010·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Qianli D Y MaPlamen Ch Ivanov
Apr 28, 2011·Proceedings of the National Academy of Sciences of the United States of America·Tobias PreisH Eugene Stanley
Sep 26, 2012·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Vladimir Filimonov, Didier Sornette
Feb 3, 2018·Chaos·Yu-Hao QinH Eugene Stanley
May 23, 2020·PloS One·Min-Young LeeGabjin Oh
Dec 19, 2009·Proceedings of the National Academy of Sciences of the United States of America·Boris PodobnikH Eugene Stanley
Nov 15, 2016·Physical Review. E·Mateusz DenysH Eugene Stanley
Sep 26, 2012·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Zeyu ZhengH Eugene Stanley
Sep 28, 2010·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Fei Ren, Wei-Xing Zhou
Oct 4, 2005·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Boris PodobnikIvo Grosse
Mar 10, 2012·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Concepción Carretero-CamposPedro Carpena
May 23, 2006·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Zoltán Eisler, János Kertész
Mar 5, 2009·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Fengzhong WangH Eugene Stanley

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