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

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Author Info
Marco Raberto (Universita' di Genova, Genova, Italy)
Enrico Scalas (Universita' del Piemonte Orientale, Alessandria, Italy)
Francesco Mainardi (Universita' di Bologna, Bologna, Italy)

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Abstract

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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Publisher Info
Paper provided by EconWPA in its series Finance with number 0411014.

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Length: 8 pages
Date of creation: 10 Nov 2004
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Handle: RePEc:wpa:wuwpfi:0411014

Note: Type of Document - pdf; pages: 8. Preprint pdf version of a paper published in Physica A, 314, p.749-755, 2002.
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Related research
Keywords: Duration; Continuous-time random walk; Fractional calculus; Statistical finance.;

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Find related papers by JEL classification:
G - Financial Economics

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
  2. Parkinson, Michael, 1977. "Option Pricing: The American Put," Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January. [Downloadable!] (restricted)
  3. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Quantitative Finance Papers cond-mat/0006454, arXiv.org, revised Nov 2000. [Downloadable!]
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  4. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Quantitative Finance Papers physics/0611138, arXiv.org. [Downloadable!]
    Other versions:
  2. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Quantitative Finance Papers 0810.1625, arXiv.org. [Downloadable!]
  3. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
    Other versions:
  4. Przemyslaw Repetowicz & Peter Richmond, 2004. "Pricing of options on stocks driven by multi-dimensional operator stable Levy processes," Quantitative Finance Papers math-ph/0412071, arXiv.org, revised Feb 2005. [Downloadable!]
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