Anomalous waiting times in high-frequency financial data

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

Papers from arXiv.org

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 sets limits for agent-based models of financial markets.

Date: 2003-10
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Related works:
Working Paper: Anomalous waiting times in high-frequency financial data (2005)
Journal Article: Anomalous waiting times in high-frequency financial data (2004)
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