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Fitting the empirical distribution of intertrade durations

  • Politi, Mauro
  • Scalas, Enrico

Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.

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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 387 (2008)
Issue (Month): 8 ()
Pages: 2025-2034

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Handle: RePEc:eee:phsmap:v:387:y:2008:i:8:p:2025-2034
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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  1. Z. Eisler & J. Kertész, 2006. "Size matters: some stylized facts of the stock market revisited," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 51(1), pages 145-154, 05.
  2. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
  3. Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee, 2004. "Common Scaling Patterns in Intertrade Times of U. S. Stocks," Papers cond-mat/0403662, arXiv.org.
  4. M. Goldstein & S. Morris & G. Yen, 2004. "Problems with fitting to the power-law distribution," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 41(2), pages 255-258, 09.
  5. Sazuka, Naoya, 2007. "On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 500-506.
  6. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  7. J. de Souza & L. G. Moyano & S. M. Duarte Queirós, 2006. "On statistical properties of traded volume in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 50(1), pages 165-168, 03.
  8. Bertram, William K, 2004. "An empirical investigation of Australian Stock Exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 533-546.
  9. Zoltan Eisler & Janos Kertesz, 2005. "Size matters: some stylized facts of the stock market revisited," Papers physics/0508156, arXiv.org, revised May 2006.
  10. Lisa Borland, 2002. "Option Pricing Formulas based on a non-Gaussian Stock Price Model," Papers cond-mat/0204331, arXiv.org, revised Sep 2002.
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