Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Linear and nonlinear correlations in order aggressiveness of Chinese
  stocks   The diagonal effect of orders is well documented in different markets, which
states that orders are more likely to be followed by orders of the same
aggressiveness and implies the presence of short-term correlations in order
flows. Based on the order flow data of 43 Chinese stocks, we investigate if
there are long-range correlations in the time series of order aggressiveness.
The detrending moving average analysis shows that there are crossovers in the
scaling behaviors of overall fluctuations and order aggressiveness exhibits
linear long-term correlations. We design an objective procedure to determine
the two Hurst indexes delimited by the crossover scale. We find no correlations
in the short term and strong correlations in the long term for all stocks
except for an outlier stock. The long-term correlation is found to depend on
several firm specific characteristics. We also find that there are nonlinear
long-term correlations in the order aggressiveness when we perform the
multifractal detrending moving average analysis.

24
The categories of this paper are: dg-ga
6
The categories of this paper are: astro-ph
4
The categories of this paper are: cond-mat
16
The categories of this paper are: stat
8
The categories of this paper are: hep-ex
26
The categories of this paper are: bayes-an
34
The categories of this paper are: chem-ph
19
The categories of this paper are: eess
11
The categories of this paper are: hep-lat
1
The categories of this paper are: cs
22
The categories of this paper are: chao-dyn
18
The categories of this paper are: econ
10
The categories of this paper are: q-bio
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
12
The categories of this paper are: nucl-th