Waiting times between orders and trades in double-auction markets

Details Waiting times between orders and trades in double-auction markets Waiting times between orders and trades in double-auction markets

2006-08-28

arxiv.org/abs/physics/0608273v1

Physica A, Volume 366, 1 July 2006, Pages 463-471

Physics

Physics and Society

19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, UK

Scientific paper

10.1016/j.physa.2005.09.047

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

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