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Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find that the spread return is lack of long-range memory, while the spread volatility is long-range time correlated. Moreover, by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA), the spread return is observed to possess a strong multifractality, which is similar to the dynamics of a variety of financial quantities. Differently from the spread return, the spread volatility exhibits a weak multifractal nature.
We investigate the probability distribution of the volatility return intervals $tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(tau)$ and the volatility return intervals $tau$ as $P_{q}(tau)=1/bar{tau} f(tau/bar
The distribution of the return intervals $tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined non-linear mec
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known traditional tec
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approxim
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlyings return, whereas gradual changes in implied volatility would indi