LONG MEMORY IN STOCK TRADING

DOI10.1142/S0219024904002682MaRDI QIDQ4662050zbMATH OpenFDO

Authors Andrei V. Leonidov

Publication date 30 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0303222

zbMATH Keywords

continuous time random walkEconophysicslong memory

Mathematics Subject Classification ID

Trade models (91B60)

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 that of correlation between intertrade time intervals is presented. A power-law decay of the correlation 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.

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Cites work

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Cited in

(6)

• Technical trading can induce long-run memory in financial markets
• Stock price process and long memory in trade signs
• The Long Memory of the Efficient Market
• Long-range memory test by the burst and inter-burst duration distribution
• Time intervals distribution of stock transactions and time correlation of stock indices in the model space
• The non-random walk of stock prices: the long-term correlation between signs and sizes

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