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Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2010/10/29
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...
Scaling in the distribution of intertrade durations of Chinese stocks
Scaling distribution intertrade durations Chinese stocks
2010/12/17
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on ...