Related papers: Anomalous waiting times in high-frequency financia…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
Continuous-time random walks (CTRWs) on discrete state spaces, ranging from regular lattices to complex networks, are ubiquitous across physics, chemistry, and biology. Models with coarse-grained states, for example those employed in…
Since its introduction, some sixty years ago, the Montroll-Weiss continuous time random walk has found numerous applications due its ease of use and ability to describe both regular and anomalous diffusion. Yet, despite its broad…
We study one-dimensional discrete as well as continuous time random walks, either with a fixed number of steps (for discrete time) $n$ or on a fixed time interval $T$ (for continuous time). In both cases, we focus on symmetric probability…
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We consider continuous time random walks (CTRW) for open systems that exchange energy and matter with multiple reservoirs. Each waiting time distribution (WTD) for times between steps is characterized by a positive parameter a, which is set…
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and…
Using the continuous-time random walk (CTRW) approach, we study the phenomenon of relaxation of two-state systems whose elements evolve according to a dichotomous process. Two characteristics of relaxation, the probability density function…
The continuous time random walk (CTRW) model exhibits a non-ergodic phase when the average waiting time diverges. Using an analytical approach for the non-biased and the uniformly biased CTRWs, and numerical simulations for the CTRW in a…
In this article, we generalize the recent Discrete Time Random Walk (DTRW) algorithm, which was introduced for the computation of probability densities of fractional diffusion. Although it has the same computational complexity and shares…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Charge transport processes in disordered complex media are accompanied by anomalously slow relaxation for which usually a broad distribution of relaxation times is adopted. To account for those properties of the environment, a standard…
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy…
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…