Waiting-times and returns in high-frequency financial data: an empirical study

Marco Raberto (), Enrico Scalas () and Francesco Mainardi
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Francesco Mainardi: Universita' di Bologna, Bologna, Italy

Finance from EconWPA

Abstract: In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.

Keywords: Duration; Continuous-time random walk; Fractional calculus; Statistical finance. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-11-10
Note: Type of Document - pdf; pages: 8. Preprint pdf version of a paper published in Physica A, 314, p.749-755, 2002.
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Working Paper: Waiting-times and returns in high-frequency financial data: an empirical study (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411014

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