Distributions and Long-Range Correlations in the Trading of US Stocks
We analyze the sequence of time intervals between consecutive stock trades of five large companies representing different sectors of the US economy over a period of four years. We show that independent of the industry sector and average level of activity, the series of intertrade times exhibit common statistical features. Specifically, we find that: (1) the tail of the probability density function of intertrade times may be fit by a stretched exponential form; (ii) the probability densities of the intertrade times for all five companies collapse onto a single curve when appropriately resealed, and (iii) the intertrade times exhibit correlated behaviour over hundreds of trades within a trading day and an even greater degree of correlation over longer time scales.
KeywordsTrading Activity Detrended Fluctuation Analysis Myosin Heavy Chain Gene Persistent Behaviour Detrended Fluctuation Analysis Method
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