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Anomalous waiting times in high-frequency financial data

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

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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: 2005-05
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Published in E. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004

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