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- W4313585489 abstract "The Chinese stock market exhibits many characteristics that deviate from the efficient market hypothesis and the trading volume contains a great deal of complexity information that the price cannot reflect. Do small or big orders drive trading volume? We studied the complex behavior of different orders from a microstructure perspective. We used ETF data of the CSI300, SSE50, and CSI500 indices and divided transactions into big and small orders. A multifractal detrended fluctuation analysis (MFDFA) method was used to study persistence. It was found that the persistence of small orders was stronger than that of big orders, which was caused by correlation with time. A multiscale composite complexity synchronization (MCCS) method was used to study the synchronization of orders and total volume. It was found that small orders drove selling-out transactions in the CSI300 market and that big orders drove selling-out transactions in the CSI500 market. Our findings are useful for understanding the microstructure of the trading volume in the Chinese market." @default.
- W4313585489 created "2023-01-06" @default.
- W4313585489 creator A5070617771 @default.
- W4313585489 creator A5071894027 @default.
- W4313585489 date "2023-01-04" @default.
- W4313585489 modified "2023-10-14" @default.
- W4313585489 title "The Complexity Behavior of Big and Small Trading Orders in the Chinese Stock Market" @default.
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- W4313585489 doi "https://doi.org/10.3390/e25010102" @default.
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- W4313585489 hasPublicationYear "2023" @default.
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