Anomalous waiting times in high-frequency financial data

Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli and Marco Raberto

Quantitative Finance, 2004, vol. 4, issue 6, 695-702

Abstract: In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows that the waiting-time survival probability for high-frequency data is non-exponential. This fact imposes constraints on agent-based models of financial markets.

Date: 2004
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Working Paper: Anomalous waiting times in high-frequency financial data (2005)
Working Paper: Anomalous waiting times in high-frequency financial data (2003)
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DOI: 10.1080/14697680500040413

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