期刊刊名：管理科學與統計決策 　 卷期：7卷2期

篇名出版日期：2010年6月1日

作者：Zhenlong Chen;Menghui Huang

語言：English

關鍵字：Intertrade Duration;Intraday Pattern;Fractal; Long-Range Correlation;Shuffling;Fourier- Phase Randomization

被點閱次數：1次

閱讀時間：1sec

摘要：
The Detrended Fluctuation Analysis is one of the most important methods in the fractal analysis, and it is used in this paper to analysis the long-range correlation of the intertrade durations of 20 stocks in China’s Shanghai Stock Exchange. We discover that the series of the intertrade durations display long-range correlation across the whole time scales, and find that two time scale regimes in which the strength of the long-range correlation is significantly different. Meanwhile, we find that this kind of long-range correlation is independent with the intraday pattern, industry sector, market capitalization and average level of trading activity. Furthermore, there may exists a kind of reciprocal correspondence between the long-range correlation of the intertrade durations and the variance of the stock prices, which suggests that the long-range correlation of the intertrade durations plays some extent of role in displaying the risk of the stocks.

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