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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 Mainardi
In 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.

History

Publication status

  • Published

Journal

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

1-4

Volume

314

Page range

749-755

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-10-01

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