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

  • M. Raberto
  • E. Scalas
  • F. Mainardi

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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File URL: http://arxiv.org/pdf/cond-mat/0203596
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Paper provided by arXiv.org in its series Papers with number cond-mat/0203596.

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Date of creation: Mar 2002
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Handle: RePEc:arx:papers:cond-mat/0203596
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  1. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
  2. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "Fractional calculus and continuous-time finance," Papers cond-mat/0001120, arXiv.org.
  3. 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.
  4. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
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