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摘要翻译：
我们利用在上海证券交易所和深圳证券交易所交易的1364只中国A股股票的高频数据来研究买卖价差的日内模式。Lomb分析证实了价差时间序列的日周期性，日内买卖价差呈现出具有独特精细结构的$L$型模式。从上午9:30~10:30，个股的盘中价差在连续二次拍卖的第一个小时内呈幂律放松，上海市场指数为$\beta_{\rm{SHSE}}=0.19\pm0.069$,深圳市场指数为$\beta_{\rm{SZSE}}=0.18\pm0.067$。个股的幂律松弛指数$\beta$大致呈正态分布。有证据表明，信息的积累、传播的扩大是一个内生过程。
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英文标题：
《Intraday pattern in bid-ask spreads and its power-law relaxation for
Chinese A-share stocks》
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作者：
Xiao-Hui Ni, Wei-Xing Zhou (ECUST)
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最新提交年份：
2007
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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：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.
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PDF链接：
https://arxiv.org/pdf/0710.2402
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