Ivanov Plamen Ch, Yuen Ainslie, Perakakis Pandelis
Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts, United States of America; Harvard Medical School and Division of Sleep Medicine, Brigham and Women's Hospital, Boston, Massachusetts, United States of America; Institute of Solid State Physics, Bulgarian Academy of Sciences, Sofia, Bulgaria.
Signal Processing Laboratory, Department of Engineering, Cambridge University, Cambridge, United Kingdom.
PLoS One. 2014 Apr 3;9(4):e92885. doi: 10.1371/journal.pone.0092885. eCollection 2014.
We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.
我们分析了在纽约证券交易所(NYSE)和纳斯达克(NASDAQ)市场注册的各类股票连续交易之间的时间间隔,并将交易间隔时间的动态特性与相应的价格波动特性联系起来。我们报告称,市场结构对股票交易时间的尺度不变时间组织有强烈影响,我们观察到这种组织具有长程幂律相关性。具体而言,我们发现,与纽约证券交易所的股票相比,在纳斯达克注册的股票在一个交易日内的交易时间尺度上表现出显著更强的相关性。此外,我们发现从纳斯达克转到纽约证券交易所的公司在一个交易日内的交易时间尺度上的相关性强度有所降低,这表明了市场结构的影响。我们还报告称,随着平均交易间隔时间的增加以及公司市值相应下降,交易间隔时间的相关性强度持续降低——这种趋势在纳斯达克股票中不太明显。令人惊讶的是,我们观察到交易间隔时间中更强的幂律相关性与绝对价格回报中更强的幂律相关性以及更高的价格波动性相关联,这表明在广泛的时间尺度上,交易间隔时间的动态特性与相应的价格波动之间存在紧密联系。比较纽约证券交易所和纳斯达克市场,我们证明,我们在纳斯达克股票的交易间隔时间中发现的更强相关性与绝对价格回报中更强的相关性以及更高的波动性相关联,这表明市场结构可能通过交易时间中包含的信息影响价格行为。这些发现不支持股票动态中与公司特征和股票市场结构无关的普遍标度行为假设。此外,我们的结果对于在不同股票市场的价格预测和风险管理优化中利用交易时间模式具有启示意义。