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Long Memory In Stock Trading

Author

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  • ANDREI LEONIDOV

    (Theoretical Physics Department, P.N. Lebedev Physics Institute, 119991 Leninsky pr. 53, Moscow, Russia;
    Netcominvest Financial Investment Company, 109017 Profsoyznaya 3, Moscow, Russia;
    Institute of Theoretical and Experimental Physics, 117259 B. Cheremushkinskaya 25, Moscow, Russia)

Abstract

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially non-Markovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period January 2003–September 2003, including correlation between intertrade time intervals is presented. A power-law decay of the correlation function provides an additional evidence of the long-memory nature of the series of times of trades. A data set including all trades in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002 is also considered.

Suggested Citation

  • Andrei Leonidov, 2004. "Long Memory In Stock Trading," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(07), pages 879-885.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002682
    DOI: 10.1142/S0219024904002682
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    Cited by:

    1. Dremin, I.M. & Leonidov, A.V., 2005. "On distribution of number of trades in different time windows in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 388-402.

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