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

Marco Raberto, Enrico Scalas and Francesco Mainardi

Physica A: Statistical Mechanics and its Applications, 2002, vol. 314, issue 1, 749-755

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: Stochastic processes; Continuous-time random walk; Statistical finance; Econophysics; Autocorrelation function (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437102010488
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
Working Paper: Waiting-times and returns in high-frequency financial data: an empirical study (2004)
Working Paper: Waiting-times and returns in high-frequency financial data: an empirical study (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:314:y:2002:i:1:p:749-755

DOI: 10.1016/S0378-4371(02)01048-8

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().