The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock...

The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations, defined as the waiting times between...

Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result in specific topological structures in trading networks, which connect the traders with the pairwise buy–sell relationships, but also have...

The statistical properties of the multipliers of the absolute returns are investigated using 1-min high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size s when s is larger than some crossover scale, providing direct evidence of the...

Energy markets and the associated energy futures markets play a crucial role in global economies. It is of great theoretical and practical significance to gain a deeper understanding of extreme value statistics of the volatility of energy futures traded on the New York Mercantile Exchange...

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P 500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the...

Song et al. [Self-similarity of complex networks, Nature 433 (2005) 392–395] have recently used a version of the box-counting method, called the node-covering method, to quantify the self-similar properties of 43 cellular networks: the minimal number NV of boxes of size ℓ needed to cover all...

We have performed a detailed investigation on the world investment networks constructed from the Coordinated Portfolio Investment Survey (CPIS) data of the International Monetary Fund, ranging from 2001 to 2006. The distributions of degrees and node strengths are scale-free. The weight...

We have performed a detailed multifractal analysis on the 1-min volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function χq(s) scales as a power law with respect to the box size s. The scaling exponents τ(q) form a...