Impact of stock market structure on intertrade time and price dynamics.

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-inv...

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Autores principales:	Plamen Ch Ivanov, Ainslie Yuen, Pandelis Perakakis
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2014
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/7c07a3e0e02345f79fc810c9f4264ce6
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spelling	oai:doaj.org-article:7c07a3e0e02345f79fc810c9f4264ce62021-11-18T08:25:06ZImpact of stock market structure on intertrade time and price dynamics.1932-620310.1371/journal.pone.0092885https://doaj.org/article/7c07a3e0e02345f79fc810c9f4264ce62014-01-01T00:00:00Zhttps://www.ncbi.nlm.nih.gov/pmc/articles/pmid/24699376/pdf/?tool=EBIhttps://doaj.org/toc/1932-6203We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.Plamen Ch IvanovAinslie YuenPandelis PerakakisPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 9, Iss 4, p e92885 (2014)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Plamen Ch Ivanov Ainslie Yuen Pandelis Perakakis Impact of stock market structure on intertrade time and price dynamics.
description	We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.
format	article
author	Plamen Ch Ivanov Ainslie Yuen Pandelis Perakakis
author_facet	Plamen Ch Ivanov Ainslie Yuen Pandelis Perakakis
author_sort	Plamen Ch Ivanov
title	Impact of stock market structure on intertrade time and price dynamics.
title_short	Impact of stock market structure on intertrade time and price dynamics.
title_full	Impact of stock market structure on intertrade time and price dynamics.
title_fullStr	Impact of stock market structure on intertrade time and price dynamics.
title_full_unstemmed	Impact of stock market structure on intertrade time and price dynamics.
title_sort	impact of stock market structure on intertrade time and price dynamics.
publisher	Public Library of Science (PLoS)
publishDate	2014
url	https://doaj.org/article/7c07a3e0e02345f79fc810c9f4264ce6
work_keys_str_mv	AT plamenchivanov impactofstockmarketstructureonintertradetimeandpricedynamics AT ainslieyuen impactofstockmarketstructureonintertradetimeandpricedynamics AT pandelisperakakis impactofstockmarketstructureonintertradetimeandpricedynamics
_version_	1718421812117766144

Impact of stock market structure on intertrade time and price dynamics.

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