On-line trading as a renewal process: Waiting time and inspection paradox
Abstract
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. The basic method of our approach depends on the so-called renewal-reward theorem. Assuming that the stochastic process modelling the price change is a renewal process, we use the theorem to calculate the average waiting time of the process. The so-called ``inspection paradox'' is discussed, which, in general, means that the average durations is shorter than the average waiting time.
Keywords
Cite
@article{arxiv.1007.3347,
title = {On-line trading as a renewal process: Waiting time and inspection paradox},
author = {Jun-ichi Inoue and Naoya Sazuka and Enrico Scalas},
journal= {arXiv preprint arXiv:1007.3347},
year = {2010}
}
Comments
5 pages REVTeX format, 4 figures. To appear in "Econophysics", a special issue in Science and Culture (Kolkata, India) to celebrate 15 years of Econophysics