dorsal/arxiv
View SchemaQuantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature
| Authors | Gao-Feng Gu, Wei Chen, Wei-Xing Zhou |
|---|---|
| Categories | |
| ArXiv ID | physics/0701017 |
| URL | https://arxiv.org/abs/physics/0701017 |
| DOI | 10.1140/epjb/e2007-00158-7 |
| Journal | European Physical Journal B 57, 81-87 (2007) |
Abstract
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval $(2,3)$ and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread does not possess multifractal nature.
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"abstract": "The statistical properties of the bid-ask spread of a frequently traded\nChinese stock listed on the Shenzhen Stock Exchange are investigated using the\nlimit-order book data. Three different definitions of spread are considered\nbased on the time right before transactions, the time whenever the highest\nbuying price or the lowest selling price changes, and a fixed time interval.\nThe results are qualitatively similar no matter linear prices or logarithmic\nprices are used. The average spread exhibits evident intraday patterns\nconsisting of a big L-shape in morning transactions and a small L-shape in the\nafternoon. The distributions of the spread with different definitions decay as\npower laws. The tail exponents of spreads at transaction level are well within\nthe interval $(2,3)$ and that of average spreads are well in line with the\ninverse cubic law for different time intervals. Based on the detrended\nfluctuation analysis, we found the evidence of long memory in the bid-ask\nspread time series for all three definitions, even after the removal of the\nintraday pattern. Using the classical box-counting approach for multifractal\nanalysis, we show that the time series of bid-ask spread does not possess\nmultifractal nature.",
"arxiv_id": "physics/0701017",
"authors": [
"Gao-Feng Gu",
"Wei Chen",
"Wei-Xing Zhou"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1140/epjb/e2007-00158-7",
"journal_ref": "European Physical Journal B 57, 81-87 (2007)",
"title": "Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature",
"url": "https://arxiv.org/abs/physics/0701017"
},
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