英文标题：
《Linear and nonlinear correlations in order aggressiveness of Chinese
stocks》
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作者：
Peng Yue (ECUST), Hai-Chuan Xu (ECUST), Wei Chen (SSEC), Xiong Xiong
(TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2017
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英文摘要：
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on the order flow data of 43 Chinese stocks, we investigate if there are long-range correlations in the time series of order aggressiveness. The detrending moving average analysis shows that there are crossovers in the scaling behaviors of overall fluctuations and order aggressiveness exhibits linear long-term correlations. We design an objective procedure to determine the two Hurst indexes delimited by the crossover scale. We find no correlations in the short term and strong correlations in the long term for all stocks except for an outlier stock. The long-term correlation is found to depend on several firm specific characteristics. We also find that there are nonlinear long-term correlations in the order aggressiveness when we perform the multifractal detrending moving average analysis.
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中文摘要：
订单的对角线效应在不同的市场中得到了充分的证明，这表明订单之后更有可能是具有相同攻击性的订单，这意味着订单流中存在短期相关性。基于43只中国股票的订单流数据，我们研究了订单攻击性时间序列是否存在长期相关性。去趋势移动平均分析表明，总体波动的标度行为存在交叉，订单攻击性表现出线性长期相关性。我们设计了一个客观的程序来确定由交叉尺度分隔的两个赫斯特指数。我们发现，除异常股票外，所有股票在短期内均无相关性，在长期内均存在强相关性。研究发现，长期相关性取决于几个公司的特定特征。我们还发现，当我们进行多重分形去趋势移动平均分析时，顺序攻击性中存在非线性长期相关性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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