Anomalous waiting times in high-frequency financial data
Enrico Scalas (),
Maurizio Mantelli and
Marco Raberto ()
Papers from arXiv.org
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.
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Published in E. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004
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Journal Article: Anomalous waiting times in high-frequency financial data (2004)
Working Paper: Anomalous waiting times in high-frequency financial data (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0505210
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