Anomalous waiting times in high-frequency financial data

Simple item page
dc.creatorScalas, Enrico
dc.creatorGorenflo, Rudolf
dc.creatorLuckock, Hugh
dc.creatorMainardi, Francesco
dc.creatorMantelli, Maurizio
dc.creatorRaberto, Marco
dc.date2005-05-31
dc.date.accessioned2026-07-07T12:11:26Z
dc.date.available2026-07-07T12:11:26Z
dc.descriptionIn 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.
dc.description2 figures; preprint of a paper published on Quantitative Finance; substantially new version of an old submission (cond-mat/0310305)
dc.identifierhttps://arxiv.org/abs/physics/0505210
dc.identifierhttp://arxiv.org/abs/physics/0505210
dc.identifierE. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210220
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleAnomalous waiting times in high-frequency financial data
dc.typetext

Files

Collections

arXiv