| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480833 | Physica A: Statistical Mechanics and its Applications | 2011 | 9 Pages |
Abstract
⺠We study comparatively the intertrade durations of a stock and its warrant. ⺠The scaled duration distributions have shifted power-law forms but do not collapse. ⺠The 1 min intertrade durations of the two equities are strongly correlated. ⺠The 1 min intertrade durations possess multifractal nature.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yong-Ping Ruan, Wei-Xing Zhou,