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Waiting-times and returns in high-frequency financial data: an empirical study
journal contribution
posted on 2023-06-08, 18:27 authored by Marco Raberto, Enrico Scalas, Francesco MainardiIn financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.
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Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
1-4Volume
314Page range
749-755Department affiliated with
- Mathematics Publications
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- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-10-01Usage metrics
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