{
  "annotation_id": "29e26508-28d4-4dcf-8a6a-60b271d7e324",
  "date_created": "2026-03-02T18:01:07.904000Z",
  "date_modified": "2026-03-02T18:01:07.904000Z",
  "file_hash": "5a618b9b8528930a2ed9cf124e04c67de76f0abd84088628480a512f9e89669a",
  "private": false,
  "record": {
    "abstract": "We analyze waiting times for price changes in a foreign currency exchange\nrate. Recent empirical studies of high frequency financial data support that\ntrades in financial markets do not follow a Poisson process and the waiting\ntimes between trades are not exponentially distributed. Here we show that our\ndata is well approximated by a Weibull distribution rather than an exponential\ndistribution in a non-asymptotic regime. Moreover, we quantitatively evaluate\nhow much an empirical data is far from an exponential distribution using a\nWeibull fit. Finally, we discuss a phase transition between a Weibull-law and a\npower-law in the asymptotic long waiting time regime.",
    "arxiv_id": "physics/0606005",
    "authors": [
      "Naoya Sazuka"
    ],
    "categories": [
      "physics.soc-ph",
      "physics.data-an",
      "q-fin.ST"
    ],
    "doi": "10.1016/j.physa.2006.10.094",
    "title": "On the gap between an empirical distribution and an exponential   distribution of waiting times for price changes in a financial market",
    "url": "https://arxiv.org/abs/physics/0606005"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "49ef9f6e-d1b4-42c7-a701-ef0e0141295e",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}