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 University Library of Munich, Germany

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)
Pages: 8 pages
Date: 2004-11-10
New Economics Papers: this item is included in nep-fin
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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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Waiting-times and returns in high-frequency financial data: an empirical study (2002)
Working Paper: Waiting-times and returns in high-frequency financial data: an empirical study (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411014

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