Economy – Quantitative Finance – Statistical Finance
Scientific paper
2010-07-20
Economy
Quantitative Finance
Statistical Finance
5 pages REVTeX format, 4 figures. To appear in "Econophysics", a special issue in Science and Culture (Kolkata, India) to cele
Scientific paper
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. The basic method of our approach depends on the so-called renewal-reward theorem. Assuming that the stochastic process modelling the price change is a renewal process, we use the theorem to calculate the average waiting time of the process. The so-called ``inspection paradox'' is discussed, which, in general, means that the average durations is shorter than the average waiting time.
Inoue Jun'ichi
Sazuka Naoya
Scalas Enrico
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