Anomalous waiting times in high-frequency financial data
Physics and Society
2008-12-10 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 imposes constraints on agent-based models of financial markets.
Keywords
Cite
@article{arxiv.physics/0505210,
title = {Anomalous waiting times in high-frequency financial data},
author = {Enrico Scalas and Rudolf Gorenflo and Hugh Luckock and Francesco Mainardi and Maurizio Mantelli and Marco Raberto},
journal= {arXiv preprint arXiv:physics/0505210},
year = {2008}
}
Comments
2 figures; preprint of a paper published on Quantitative Finance; substantially new version of an old submission (cond-mat/0310305)