Abstract
This paper studies the properties of high frequency stock trading time using the Trade and Quote Data starting from 1993 to 2002. I show that all these stocks' trading time dynamics exhibit similar temporal patterns: 1) they can be modeled as multifractal processes at large time scales ranging from one day to two weeks, which confirms the multifractal trading time hypothesis suggested by Mandelbrot (1997); 2) the intra-day dynamics can be modeled as the multiscaling processes, which are the generalization of multifractal processes. These patterns are due to the temporal dependence of trading sequence and the fat tails of the their distributions.
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