Common scaling patterns in intertrade times of U. S. stocks
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Cites background from "Common scaling patterns in intertra..."
...[34] Ivanov P Ch et al. (2004) Common scaling patterns in intratrade times of U.S. Stocks....
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Cites result from "Common scaling patterns in intertra..."
...[113] confirmed that a stretched-exponential fits well the survival distribution for NYSE stocks as we suggested in Ref....
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References
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"Common scaling patterns in intertra..." refers background in this paper
...Investigations of price dynamics of financial assets and indices have long been the key focus of economic research [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23]....
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...Recent studies, however, have turned to the information offered by other aspects of the trading process such as volume of shares traded at each transaction [24, 25] or number of trades in a unit time [26, 27], and their possible relation to price formation [7, 28, 29, 30, 31]....
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972 citations
Additional excerpts
...[46] D....
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...The scaling or correlation exponent α is related to the autocorrelation function exponent γ (C(n) ∼ n when 0 < γ < 1) and to the power spectrum exponent β (S(f) ∼ 1/f) by α = 1 − γ/2 = (β + 1)/2 [43, 46]....
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"Common scaling patterns in intertra..." refers background in this paper
...[16] J....
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...These features suggest that information may be contained in the structure and temporal organization of trading activity, and that a close analysis of trading dynamics may offer quantitative insight into the complex mechanism driving price fluctuations [16, 28]....
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...Investigations of price dynamics of financial assets and indices have long been the key focus of economic research [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23]....
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