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 / E. Scalas; R. Gorenflo; H. Luckock; F. Mainardi; M. Mantelli; M. Raberto. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - STAMPA. - 4:(2004), pp. 695-702. [10.1080/14697680500040413]
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
