Ruan, Yong-Ping; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1646-1654
The intertrade duration of equities is an important financial measure, characterizing trading activities; it 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...