Anomalous waiting times in high-frequency financial data
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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.
2 figures; preprint of a paper published on Quantitative Finance; substantially new version of an old submission (cond-mat/0310305)
2 figures; preprint of a paper published on Quantitative Finance; substantially new version of an old submission (cond-mat/0310305)