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.
Anomalous waiting times in high-frequency financial data / Scalas, E., Gorenflo, R., Luckock, H., Mainardi, F., Mantelli, M., Raberto, M.. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 4:(2004), pp. 695-702.
Anomalous waiting times in high-frequency financial data
SCALAS, Enrico
;
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.| File | Dimensione | Formato | |
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