Anomalous waiting times in high-frequency financial data
Statistical Mechanics
2008-12-02 v1 Trading and Market Microstructure
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.
Keywords
Cite
@article{arxiv.cond-mat/0310305,
title = {Anomalous waiting times in high-frequency financial data},
author = {Enrico Scalas and Rudolf Gorenflo and Francesco Mainardi and Maurizio Mantelli and Marco Raberto},
journal= {arXiv preprint arXiv:cond-mat/0310305},
year = {2008}
}
Comments
8 pages, 1 figure