# Scaling and memory in the non-poisson process of limit order cancelation

@article{Ni2010ScalingAM,
title={Scaling and memory in the non-poisson process of limit order cancelation},
author={Xiaohui Ni and Zhi-Qiang Jiang and Gao-Feng Gu and Fei Ren and Wei Chen and Wei‐Xing Zhou},
journal={Physica A-statistical Mechanics and Its Applications},
year={2010},
volume={389},
pages={2751-2761}
}
• Published 30 October 2009
• Physica A-statistical Mechanics and Its Applications
13 Citations

## Figures and Tables from this paper

Empirical properties of inter-cancellation durations in the Chinese stock market
Front. Physics
• 2014
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models.
The position profiles of order cancellations in an emerging stock market
• 2011
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while
Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market
• Economics
• 2009
The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We
Volatility return intervals analysis of the Japanese market
• Economics
• 2008
Abstract.We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find
Multifractal analysis of financial markets: a review.
• Physics
Reports on progress in physics. Physical Society
• 2019
The cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods is surveyed, and the sources ofMultifractality are discussed.
Multiscaling behavior in the volatility return intervals of Chinese indices
• Mathematics
• 2008
We investigate the probability distribution of the return intervals $\tau$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS)

## References

SHOWING 1-10 OF 118 REFERENCES
On the probability distribution of stock returns in the Mike-Farmer model
• Mathematics
• 2009
AbstractRecently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order
Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market
• Economics
• 2009
The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We
On the origin of power-law fluctuations in stock prices
• Economics
• 2004
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our
Quantifying bid-ask spreads in the Chinese stock market using limit-order book data
• 2006
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
Emergence of long memory in stock volatility from a modified Mike-Farmer model
• Economics
• 2009
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the
The Power of Patience: A Behavioral Regularity in Limit Order Placement
• Economics
• 2002
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly two million orders from the London Stock Exchange.
Common scaling patterns in intertrade times of U. S. stocks.
• Economics
Physical review. E, Statistical, nonlinear, and soft matter physics
• 2004
The results suggest that independent of industry sector, market capitalization and average level of trading activity, the series of intertrade times exhibit possibly universal scaling patterns, which may relate to a common mechanism underlying the trading dynamics of diverse companies.