Continuous-time random walks can be used as phenomenological models of high-frequency time dynamics in financial markets. Empirical analyses show that the intertrade durations (or waiting-times) are non-exponentially distributed. This fact imposes constraints on agent-based models of financial markets based on continuous-double auctions.
On the Intertrade Waiting-time Distribution / E. Scalas; R. Gorenflo; H. Luckock; F. Mainardi; M. Mantelli; M. Raberto. - In: FINANCE LETTERS. - ISSN 1740-6242. - ELETTRONICO. - 3:(2005).
On the Intertrade Waiting-time Distribution
MAINARDI, FRANCESCO;
2005
Abstract
Continuous-time random walks can be used as phenomenological models of high-frequency time dynamics in financial markets. Empirical analyses show that the intertrade durations (or waiting-times) are non-exponentially distributed. This fact imposes constraints on agent-based models of financial markets based on continuous-double auctions.File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
