On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

Naoya Sazuka

Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 500-506

Abstract: We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high-frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well approximated by a Weibull distribution rather than an exponential distribution in the non-asymptotic regime. Moreover, we quantitatively evaluate how much an empirical data is far from an exponential distribution using a Weibull fit. Finally, we discuss a transition between a Weibull-law and a power-law in the long time asymptotic regime.

Keywords: Stochastic process; Waiting times; Non-exponential distribution; Weibull distribution; Divergence measurements; The Sony bank USD/JPY rate (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:500-506

DOI: 10.1016/j.physa.2006.10.094

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