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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 RabertoIn 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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Publication status
- Published
Journal
Quantitative FinanceISSN
1469-7688Publisher
Taylor & FrancisExternal DOI
Issue
6Volume
4Page range
695-702Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-30Usage metrics
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