From Renewal Theory to High-Frequency Finance

Mauro Politi () and Enrico Scalas
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Mauro Politi: Philipps University Marburg and Università degli studi di Trento

European Journal of Economic and Social Systems, 2009, vol. 22, issue 1, 83-98

Abstract: Based on the continuous-time random walk (CTRW) formalism for high-frequency financial data, we present some recent results on the following issues: 1) We analyze the structure of waiting times between consecutive trades and fit them with Tsallis' q exponentials and Weibull functions; 2) We define stochastic integrals on CTRWs and we study the (non-Markovian) case of nonexponentially distributed waiting times.

Keywords: Renewal Theory; Compound Poisson Processes; Continuous-Time Random Walks; Stochastic Calculus; Econophysics (search for similar items in EconPapers)
JEL-codes: A12 G12 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ejessy:0063

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