Long Memory in Stock Trading
| dc.creator | Leonidov, Andrei | |
| dc.date | 2003-03-12 | |
| dc.date | 2004-02-06 | |
| dc.date.accessioned | 2026-07-07T12:06:46Z | |
| dc.date.available | 2026-07-07T12:06:46Z | |
| dc.description | 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. | |
| dc.description | 8 pages, Latex. New material added, to appear in IJTAF | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0303222 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0303222 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208750 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Trading and Market Microstructure | |
| dc.title | Long Memory in Stock Trading | |
| dc.type | text |