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Anomalous waiting times in high-frequency financial data

journal contribution
posted on 2023-06-08, 18:26 authored by Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli, Marco Raberto
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.

History

Publication status

  • Published

Journal

Quantitative Finance

ISSN

1469-7688

Publisher

Taylor & Francis

Issue

6

Volume

4

Page range

695-702

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-30

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