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

2005-05-31

arxiv.org/abs/physics/0505210v1

E. Scalas et al., Quantitative Finance, vol. 4, 695-702, 2004

Physics

Physics and Society

2 figures; preprint of a paper published on Quantitative Finance; substantially new version of an old submission (cond-mat/031

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 imposes constraints on agent-based models of financial markets.

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