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摘要翻译：
本文利用2003年深圳证券交易所23只流通股的限价盘数据和订单流量，研究了交易持续时间的日内模式、长记忆性和多重分形性质。交易持续时间是指连续两笔交易之间的等待时间。在交易持续时间内出现了一个反向的$U形日内模式，在下午交易的第一分钟内出现了一个突然的下跌。基于减损波动分析，我们发现了小盒子大小（盒子中的交易数）和大盒子大小的幂律标度行为的交叉，以及在两种情况下有利于长记忆的有力证据。此外，两种交易持续时间的多重分形性质通过对个股的多重分形分散波动分析得到了证实，但在小持续时间制度中有少数例外。日内模式对长记忆性和多重分断性影响不大。
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英文标题：
《Detrended fluctuation analysis of intertrade durations》
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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：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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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 intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse $U$-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on the detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractaility.
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PDF链接：
https://arxiv.org/pdf/0806.2444
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