Waiting times between orders and trades in double-auction markets

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dc.creatorScalas, Enrico
dc.creatorKaizoji, Taisei
dc.creatorKirchler, Michael
dc.creatorHuber, Juergen
dc.creatorTedeschi, Alessandra
dc.date2006-08-28
dc.date.accessioned2026-07-07T12:07:51Z
dc.date.available2026-07-07T12:07:51Z
dc.descriptionIn 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 durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.
dc.description19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, UK
dc.identifierhttps://arxiv.org/abs/physics/0608273
dc.identifierhttp://arxiv.org/abs/physics/0608273
dc.identifierPhysica A, Volume 366, 1 July 2006, Pages 463-471
dc.identifierdoi:10.1016/j.physa.2005.09.047
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209115
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectTrading and Market Microstructure
dc.titleWaiting times between orders and trades in double-auction markets
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