On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

Naoya Sazuka

Papers from arXiv.org

Abstract: We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well approximated by a Weibull distribution rather than an exponential distribution in a non-asymptotic regime. Moreover, we quantitatively evaluate how much an empirical data is far from an exponential distribution using a Weibull fit. Finally, we discuss a phase transition between a Weibull-law and a power-law in the asymptotic long waiting time regime.

Date: 2006-05
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/physics/0606005 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0606005

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().