Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

TL;DR

This study analyzes the statistical properties, long-term correlations, and multifractal characteristics of intertrade durations in a liquid Chinese stock and its warrant, revealing similar intraday patterns and multifractality despite different scales.

Contribution

It provides a comparative analysis of intertrade durations using advanced multifractal and correlation analyses, highlighting similarities and differences between a stock and its warrant.

Findings

Intertrade durations follow a shifted power-law distribution.

Both equities exhibit strong long-term correlations in 1-minute durations.

Multifractal analysis confirms multifractality in intertrade durations.

Abstract

Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese stock and its associated warrant, we perform a comparative investigation of the statistical properties of their intertrade duration time series. The distributions of the two equities can be better described by the shifted power-law form than the Weibull and their scaled distributions do not collapse onto a single curve. Although the intertrade durations of the two equities have very different magnitude, their intraday patterns exhibit very similar shapes. Both detrended fluctuation analysis (DFA) and detrending moving average analysis (DMA) show that the 1-min intertrade duration time series of the two equities are strongly correlated. In addition, both multifractal detrended fluctuation analysis (MFDFA) and multifractal detrending moving average analysis (MFDMA) unveil that the 1-min intertrade durations possess multifractal nature. However, the difference between the two singularity spectra of the two equities obtained from the MFDMA is much smaller than that from the MFDFA.