FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2104075097> ?p ?o ?g. }

• W2104075097 endingPage "e92885" @default.
• W2104075097 startingPage "e92885" @default.
• W2104075097 abstract "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." @default.
• W2104075097 created "2016-06-24" @default.
• W2104075097 creator A5000319569 @default.
• W2104075097 creator A5017970699 @default.
• W2104075097 creator A5075293581 @default.
• W2104075097 date "2014-04-03" @default.
• W2104075097 modified "2023-10-16" @default.
• W2104075097 title "Impact of Stock Market Structure on Intertrade Time and Price Dynamics" @default.
• W2104075097 cites W1484077065 @default.
• W2104075097 cites W1510269140 @default.
• W2104075097 cites W1556377938 @default.
• W2104075097 cites W1964211014 @default.
• W2104075097 cites W1971872235 @default.
• W2104075097 cites W1974209637 @default.
• W2104075097 cites W1993312381 @default.
• W2104075097 cites W1998513071 @default.
• W2104075097 cites W2000265426 @default.
• W2104075097 cites W2001203502 @default.
• W2104075097 cites W2002286553 @default.
• W2104075097 cites W2003486631 @default.
• W2104075097 cites W2004814690 @default.
• W2104075097 cites W2017821362 @default.
• W2104075097 cites W2018628019 @default.
• W2104075097 cites W2031052047 @default.
• W2104075097 cites W2042648689 @default.
• W2104075097 cites W2045288439 @default.
• W2104075097 cites W2050238052 @default.
• W2104075097 cites W2063211265 @default.
• W2104075097 cites W2073689275 @default.
• W2104075097 cites W2074645399 @default.
• W2104075097 cites W2078237894 @default.
• W2104075097 cites W2078837159 @default.
• W2104075097 cites W2100627508 @default.
• W2104075097 cites W2101547937 @default.
• W2104075097 cites W2103484453 @default.
• W2104075097 cites W2120640550 @default.
• W2104075097 cites W2139080644 @default.
• W2104075097 cites W2147903548 @default.
• W2104075097 cites W2150217932 @default.
• W2104075097 cites W2153900362 @default.
• W2104075097 cites W2157482287 @default.
• W2104075097 cites W2165773639 @default.
• W2104075097 cites W2169471158 @default.
• W2104075097 cites W2593986853 @default.
• W2104075097 cites W3101071406 @default.
• W2104075097 cites W3124399064 @default.
• W2104075097 cites W3125030544 @default.
• W2104075097 doi "https://doi.org/10.1371/journal.pone.0092885" @default.
• W2104075097 hasPubMedCentralId "https://www.ncbi.nlm.nih.gov/pmc/articles/3974723" @default.
• W2104075097 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/24699376" @default.
• W2104075097 hasPublicationYear "2014" @default.
• W2104075097 type Work @default.
• W2104075097 sameAs 2104075097 @default.
• W2104075097 citedByCount "19" @default.
• W2104075097 countsByYear W21040750972015 @default.
• W2104075097 countsByYear W21040750972016 @default.
• W2104075097 countsByYear W21040750972017 @default.
• W2104075097 countsByYear W21040750972018 @default.
• W2104075097 countsByYear W21040750972019 @default.
• W2104075097 countsByYear W21040750972020 @default.
• W2104075097 countsByYear W21040750972021 @default.
• W2104075097 countsByYear W21040750972022 @default.
• W2104075097 crossrefType "journal-article" @default.
• W2104075097 hasAuthorship W2104075097A5000319569 @default.
• W2104075097 hasAuthorship W2104075097A5017970699 @default.
• W2104075097 hasAuthorship W2104075097A5075293581 @default.
• W2104075097 hasBestOaLocation W21040750971 @default.
• W2104075097 hasConcept C106159729 @default.
• W2104075097 hasConcept C127413603 @default.
• W2104075097 hasConcept C144133560 @default.
• W2104075097 hasConcept C149782125 @default.
• W2104075097 hasConcept C151730666 @default.
• W2104075097 hasConcept C162324750 @default.
• W2104075097 hasConcept C193445137 @default.
• W2104075097 hasConcept C199360897 @default.
• W2104075097 hasConcept C204036174 @default.
• W2104075097 hasConcept C2780299701 @default.
• W2104075097 hasConcept C2780762169 @default.
• W2104075097 hasConcept C41008148 @default.
• W2104075097 hasConcept C556758197 @default.
• W2104075097 hasConcept C75949130 @default.
• W2104075097 hasConcept C78519656 @default.
• W2104075097 hasConcept C86803240 @default.
• W2104075097 hasConcept C91602232 @default.
• W2104075097 hasConceptScore W2104075097C106159729 @default.
• W2104075097 hasConceptScore W2104075097C127413603 @default.
• W2104075097 hasConceptScore W2104075097C144133560 @default.
• W2104075097 hasConceptScore W2104075097C149782125 @default.
• W2104075097 hasConceptScore W2104075097C151730666 @default.
• W2104075097 hasConceptScore W2104075097C162324750 @default.
• W2104075097 hasConceptScore W2104075097C193445137 @default.
• W2104075097 hasConceptScore W2104075097C199360897 @default.
• W2104075097 hasConceptScore W2104075097C204036174 @default.
• W2104075097 hasConceptScore W2104075097C2780299701 @default.
• W2104075097 hasConceptScore W2104075097C2780762169 @default.
• W2104075097 hasConceptScore W2104075097C41008148 @default.
• W2104075097 hasConceptScore W2104075097C556758197 @default.
• W2104075097 hasConceptScore W2104075097C75949130 @default.

• next