dorsal/arxiv
View SchemaAnomalous waiting times in high-frequency financial data
| Authors | Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli, Marco Raberto |
|---|---|
| Categories | |
| ArXiv ID | physics/0505210 |
| URL | https://arxiv.org/abs/physics/0505210 |
| Journal | E. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004 |
Abstract
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.
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"abstract": "In high-frequency financial data not only returns, but also waiting times\nbetween consecutive trades are random variables. Therefore, it is possible to\napply continuous-time random walks (CTRWs) as phenomenological models of the\nhigh-frequency price dynamics. An empirical analysis performed on the 30 DJIA\nstocks shows that the waiting-time survival probability for high-frequency data\nis non-exponential. This fact imposes constraints on agent-based models of\nfinancial markets.",
"arxiv_id": "physics/0505210",
"authors": [
"Enrico Scalas",
"Rudolf Gorenflo",
"Hugh Luckock",
"Francesco Mainardi",
"Maurizio Mantelli",
"Marco Raberto"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"journal_ref": "E. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004",
"title": "Anomalous waiting times in high-frequency financial data",
"url": "https://arxiv.org/abs/physics/0505210"
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