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.

Anomalous waiting times in high-frequency financial data

MAINARDI, FRANCESCO;
2004

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.
E. Scalas; R. Gorenflo; H. Luckock; F. Mainardi; M. Mantelli; M. Raberto
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/17544
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