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

Marco Raberto, Enrico Scalas and F. Mainardi

Papers from arXiv.org

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.

Date: 2002-03
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Working Paper: Waiting-times and returns in high-frequency financial data: an empirical study (2004)
Journal Article: Waiting-times and returns in high-frequency financial data: an empirical study (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0203596

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