摘要翻译：
订单提交和取消过程是在订单驱动市场上交易的股票价格形成的两个重要方面。我们通过研究2003年深圳证券交易所22只流通股的取消指令间隔时间的统计特性，研究了取消指令间隔时间的动态变化。取消指令间隔时间定义为连续取消指令间隔时间。三种类型的取消被考虑包括取消任何限价指令，买进限价指令和卖出限价指令。我们发现，对于每种类型的取消，个股之间取消持续时间的分布都可以很好地用Weibulls模型进行建模，并且对于不同的股票，每种类型取消持续时间的重新标度分布都表现出一种标度行为。复杂的日内模式也在相互取消的持续时间中出现。离散波动分析(DFA)和多重分形DFA表明，消除间持续时间具有长期记忆性和多重分形性，不受日内模式的影响。对于时间尺度的衰减涨落函数，没有观察到明显的交叉现象。这些研究结果表明，限价指令的取消是一个非泊松过程，这对于建立指令驱动的市场模型具有潜在的价值。
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英文标题：
《Scaling and memory in the non-poisson process of limit order cancelation》
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作者：
Xiao-Hui Ni (ECUST), Zhi-Qiang Jiang (ECUST), Gao-Feng Gu (ECUST), Fei
  Ren (ECUST), Wei Chen (SZSE) and Wei-Xing Zhou (ECUST)
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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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 order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations defined as the waiting times between consecutive order cancelations of 22 liquid stocks traded on the Shenzhen Stock Exchange of China in year 2003. Three types of cancelations are considered including cancelation of any limit orders, of buy limit orders and of sell limit orders. We find that the distributions of the inter-cancelation durations of individual stocks can be well modeled by Weibulls for each type of cancelation and the distributions of rescaled durations of each type of cancelations exhibit a scaling behavior for different stocks. Complex intraday patterns are also unveiled in the inter-cancelation durations. The detrended fluctuation analysis (DFA) and the multifractal DFA show that the inter-cancelation durations possess long-term memory and multifractal nature, which are not influenced by the intraday patterns. No clear crossover phenomenon is observed in the detrended fluctuation functions with respect to the time scale. These findings indicate that the cancelation of limit orders is a non-Poisson process, which has potential worth in the construction of order-driven market models.
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PDF链接：
https://arxiv.org/pdf/0911.0057