Anomalous waiting times in high-frequency financial data

Details Anomalous waiting times in high-frequency financial data Anomalous waiting times in high-frequency financial data

2003-10-14

arxiv.org/abs/cond-mat/0310305v1

Physics

Condensed Matter

Statistical Mechanics

8 pages, 1 figure

Scientific paper

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 sets limits for agent-based models of financial markets.

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