Long Memory in Stock Trading
Abstract
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period January 2003 - September 2003, including that of correlation between intertrade time intervals is presented. A power-law decay of the correlation provides an additional evidence of the long-memory nature of the series of times of trades. A data set including all trades in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002 is also considered.
Cite
@article{arxiv.cond-mat/0303222,
title = {Long Memory in Stock Trading},
author = {Andrei Leonidov},
journal= {arXiv preprint arXiv:cond-mat/0303222},
year = {2008}
}
Comments
8 pages, Latex. New material added, to appear in IJTAF