Anomalous waiting times in high-frequency financial data

Simple item page
dc.creatorScalas, Enrico
dc.creatorGorenflo, Rudolf
dc.creatorMainardi, Francesco
dc.creatorMantelli, Maurizio
dc.creatorRaberto, Marco
dc.date2003-10-14
dc.date.accessioned2026-07-07T12:06:49Z
dc.date.available2026-07-07T12:06:49Z
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 sets limits for agent-based models of financial markets.
dc.description8 pages, 1 figure
dc.identifierhttps://arxiv.org/abs/cond-mat/0310305
dc.identifierhttp://arxiv.org/abs/cond-mat/0310305
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208769
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleAnomalous waiting times in high-frequency financial data
dc.typetext

Files

Collections

arXiv