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...

Massive multiplayer online role-playing games (MMORPGs) have been very popular in the past few years. The profit of an MMORPG company is proportional to how many users registered, and the instant number of online avatars is a key factor to assess how popular an MMORPG is. We use the...

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...

Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been extensively investigated. However, the impacts of...

This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of trades and the total trading volume of trade packages,...

We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are...

We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between...

We study the statistical regularities of an opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative price, defined as the relative difference between the order price in the opening call auction...

<title>Abstract</title> This paper conducts an empirical study on trade packages of 23 stocks of the Chinese stock market, each composed of a sequence of consecutive purchases or sales of a stock. We investigate the probability distributions of the execution time, the number of trades, and the total trading...

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 order cancellation dynamics is less understood. There are two positions associated with a...