中国股票订单激进程度的长程相关性
文章 arXiv papers · 作者: Peng Yue et al.
总结
本研究考察43只中国股票的订单激进程度是否具有持续性。订单激进程度与订单流相关：常见的对角效应描述了订单之后往往会跟随激进程度相似的订单。研究进一步探讨这些序列是否也包含较长时间跨度的相关性。
作者使用去趋势移动平均分析识别尺度行为中的交叉点，并提出一种客观方法来估计交叉点两侧的两个赫斯特指数。他们报告称，除一只股票外，所有股票都没有短期相关性，但存在强烈的长期相关性，而且较长期影响的强度与公司特征有关。多重分形版本的分析也检测到非线性长期相关性。这些发现描述了样本订单流的统计结构；现有说明没有指出相关公司特征、解释异常样本，也未说明如何将这些相关性用于执行或交易。
核心观点
- 分析检验43只中国股票订单激进程度的长程依赖性。
- 去趋势移动平均分析揭示了尺度行为中的交叉点。
- 一种客观流程估计交叉点两侧各自的赫斯特指数。
- 作者报告称，没有短期相关性，但存在强烈的长期相关性，只有一只股票例外。
- 长期影响随公司特征而变化，多重分形分析还检测到非线性相关性。
标签
全文
# Linear and nonlinear correlations in order aggressiveness of Chinese stocks # Linear and nonlinear correlations in order aggressiveness of Chinese stocks The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on the order flow data of 43 Chinese stocks, we investigate if there are long-range correlations in the time series of order aggressiveness. The detrending moving average analysis shows that there are crossovers in the scaling behaviors of overall fluctuations and order aggressiveness exhibits linear long-term correlations. We design an objective procedure to determine the two Hurst indexes delimited by the crossover scale. We find no correlations in the short term and strong correlations in the long term for all stocks except for an outlier stock. The long-term correlation is found to depend on several firm specific characteristics. We also find that there are nonlinear long-term correlations in the order aggressiveness when we perform the multifractal detrending moving average analysis.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。