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TUTCRIS

Long-range autocorrelations in limit order book markets: inter- and cross-event analysis

Tutkimustuotosvertaisarvioitu

Yksityiskohdat

AlkuperäiskieliEnglanti
OtsikkoIEEE SSCI 2017 Conference
AlaotsikkoNovember 27 - December 1 2017, Hawaii, USA.
KustantajaIEEE
Sivumäärä7
ISBN (elektroninen)978-1-5386-2726-6
DOI - pysyväislinkit
TilaJulkaistu - 2017
OKM-julkaisutyyppiA4 Artikkeli konferenssijulkaisussa
TapahtumaIEEE Symposium Series on Computational Intelligence -
Kesto: 1 tammikuuta 1900 → …

Conference

ConferenceIEEE Symposium Series on Computational Intelligence
LyhennettäIEEE SSCI
Ajanjakso1/01/00 → …

Tiivistelmä

Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultrahigh frequency order book data from NASDAQ Nordic over a period of three years to numerically estimate the power-law scaling exponents using detrended fluctuation analysis (DFA). We address inter-event durations (order to order, trade to trade, cancel to cancel) as well as cross-event durations (time from order submission to its trade or cancel). We find strong evidence of long-range correlation, which is consistent across different stocks and variables. However, given the crossovers in the DFA fluctuation functions, our results indicate that the long-range correlation in inter-event durations becomes stronger over a longer time scale, i.e., when moving from a range of hours to days and further to months. We also observe interesting associations between the scaling exponent and a number of economic variables, in particular, in the inter-trade time series.