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Anomalous waiting times in high-frequency financial data
- DOI:
- 10.1080/14697680500040413
pages 695-702
Available online: 18 Aug 2006Abstract
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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- Citation information:
- Available online: 18 Aug 2006
Author affiliations
- a Dipartimento di Scienze e Tecnologie Avanzate, Università del Piemonte Orientale, Via G. Bellini 25, Alessandria, I-15100, Italy
- b INFM, Unità di Genova, Via Dodecaneso 33, I-16149, Genova, Italy
- c Erstes Mathematisches Institut, Freie Universität Berlin, Arnimallee 3, Berlin, D-14195, Germany
- d School of Mathematics and Statistics, University of Sydney, Sydney, Australia
- e Dipartimento di Fisica, Università di Bologna and INFN Sezione di Bologna, Via Irnerio 46, Bologna, I-40126, Italy
- f Dipartimento di Ingegneria Biofisica ed Elettronica, Università di Genova, Via all'Opera Pia 11a, Genova, I-16145, Italy E-mail:
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