Fitting the empirical distribution of intertrade durations

Mauro Politi and Enrico Scalas

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 8, 2025-2034

Abstract: Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.

Keywords: Econophysics; Waiting times; Non-exponential distribution; Power law (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:8:p:2025-2034

DOI: 10.1016/j.physa.2007.11.018

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