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Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Econophysics Stock and warrant Intertrade duration Correlation
2010/10/21
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahi...
Detrended fluctuation analysis of intertrade durations
Detrended fluctuation analysis intertrade durations
2010/12/20
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the li...
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 ...