摘要翻译：
利用深圳证券交易所2003年全年22只流通股的限价盘数据，研究了交易规模和交易量的分布。我们观察到个股的交易规模分布呈现跳跃性，这是由于交易者在下单时的数量偏好造成的。我们分析了“$q$-gamma”函数在拟合Crm{e}r-von Mises准则下的分布时的适用性。从1分钟到240分钟的不同时间尺度的交易量的经验PDFs可以很好地建模。$q$-gamma函数对多个交易的适用性仅限于交易号$\delta{n}\leqslant8$。我们发现，对于大体积的PDF，所有的PDF都具有幂律尾。仔细估计交易规模和交易量分布的平均尾指数$\alpha$，我们得到$\alpha>2$，远远超出L{'e}vy体系。
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英文标题：
《Preferred numbers and the distribution of trade sizes and trading
  volumes in the Chinese stock market》
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作者：
Guo-Hua Mu, Wei Chen, J\'anos Kert\'esz, Wei-Xing Zhou
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.
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PDF链接：
https://arxiv.org/pdf/0812.1512