| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482194 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠We study the dynamics of the bid-ask spread return and spread volatility. ⺠The spread return is short-range correlated. ⺠The spread volatilities are long-range auto-correlated and cross-correlated. ⺠The spread return shows a strong multifractal feature. ⺠The spread volatility presents a weak multifractal characteristic.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Tian Qiu, Guang Chen, Li-Xin Zhong, Xiao-Run Wu,