Anomalous waiting times in high-frequency financial data
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows that the waiting-time survival probability for high-frequency data is non-exponential. This fact imposes constraints on agent-based models of financial markets.
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Volume (Year): 4 (2004)
Issue (Month): 6 ()
Pages: 695-702
| Handle: | RePEc:taf:quantf:v:4:y:2004:i:6:p:695-702 |
| Contact details of provider: | Web page: http://www.tandfonline.com/RQUF20
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