Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.
Fitting the empirical distribution of intertrade durations / Politi, M; Scalas, Enrico. - In: PHYSICA. A. - ISSN 0378-4371. - 387:(2008), pp. 2025-2034. [10.1016/j.physa.2007.11.018]
Fitting the empirical distribution of intertrade durations
SCALAS, Enrico
2008
Abstract
Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
