  The intraday pattern, long memory, and multifractal nature of the intertrade
durations, which are defined as the waiting times between two consecutive
transactions, are investigated based upon the limit order book data and order
flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in
2003. An inverse $U$-shaped intraday pattern in the intertrade durations with
an abrupt drop in the first minute of the afternoon trading is observed. Based
on the detrended fluctuation analysis, we find a crossover of power-law scaling
behaviors for small box sizes (trade numbers in boxes) and large box sizes and
strong evidence in favor of long memory in both regimes. In addition, the
multifractal nature of intertrade durations in both regimes is confirmed by a
multifractal detrended fluctuation analysis for individual stocks with a few
exceptions in the small-duration regime. The intraday pattern has little
influence on the long memory and multifractaility.
