Waiting-times and returns in high-frequency financial data: an empirical study

Details Waiting-times and returns in high-frequency financial data: an empirical study Waiting-times and returns in high-frequency financial data: an empirical study

2002-03-28

arxiv.org/abs/cond-mat/0203596v1

Physics

Condensed Matter

Statistical Mechanics

8 pages, 4 figure, presented at the International Workshop "Horizons in Complex Systems", Messina, Italy, December 2001

Scientific paper

10.1016/S0378-4371(02)01048-8

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.

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