中国股票交易期限分布的尺度分析

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摘要翻译：
利用2003年全年23只中国流通股的限价盘数据，研究了交易持续时间的分布，即连续两笔交易之间的等待时间。在交易持续时间的分布中观察到一个标度模式，其中所有23只股票的归一化交易持续时间的经验密度函数崩溃为一条曲线。在填充和部分填充交易的交易持续时间分布和条件分布中也观察到了缩放模式。所有股票的集合分布都是用Weibull和Tsallis$q$-指数分布建模的。最大似然估计表明，对于占数据98.5%以上的不太大的交易持续时间，Weibull分布优于$q$-指数分布。另外，非线性最小二乘估计选择$q$-指数作为较好的模型，在对数概率密度的经验值与理论值之间的距离进行优化。交易持续时间服从Weibull分布，其后是幂律尾，渐近尾指数接近3。
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英文标题：
《Scaling in the distribution of intertrade durations of Chinese stocks》
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作者：
Zhi-Qiang Jiang (ECUST), Wei Chen (SZSE), Wei-Xing Zhou (ECUST)
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最新提交年份：
2008
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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：
  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 the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also observed in the intertrade duration distributions for filled and partially filled trades and in the conditional distributions. The ensemble distributions for all stocks are modeled by the Weibull and the Tsallis $q$-exponential distributions. Maximum likelihood estimation shows that the Weibull distribution outperforms the $q$-exponential for not-too-large intertrade durations which account for more than 98.5% of the data. Alternatively, nonlinear least-squares estimation selects the $q$-exponential as a better model, in which the optimization is conducted on the distance between empirical and theoretical values of the logarithmic probability densities. The distribution of intertrade durations is Weibull followed by a power-law tail with an asymptotic tail exponent close to 3.
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PDF链接：
https://arxiv.org/pdf/0804.3431

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关键词：尺度分析 股票交易 distribution Quantitative Transactions pattern 进行 durations 对数 股票