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Volumn 69, Issue 5, 2004, Pages 7-

Common scaling patterns in intertrade times of U. S. Stocks

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Indexed keywords


EID: 85036237587     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: 10.1103/PhysRevE.69.056107     Document Type: Article
Times cited : (32)

References (62)
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    • Our observation of a Weibull distribution for intertrade times of U.S. stocks appears to be quite different from the distribution of intertrade times of European Government bonds where a Mittag-Leffler functional form with an extended power-law tail was reported 40. While waiting times of up to (Formula presented) are comparatively frequent for European bonds, thus leading to extended tails, the longest intertrade times observed in our group of U.S. stocks are in the range of (Formula presented) and are rare [Fig. 22(b)], leading to stretched exponential tails
    • Our observation of a Weibull distribution for intertrade times of U.S. stocks appears to be quite different from the distribution of intertrade times of European Government bonds where a Mittag-Leffler functional form with an extended power-law tail was reported 40. While waiting times of up to (Formula presented) are comparatively frequent for European bonds, thus leading to extended tails, the longest intertrade times observed in our group of U.S. stocks are in the range of (Formula presented) and are rare [Fig. 22(b)], leading to stretched exponential tails.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.