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

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

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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  • M. Raberto & E. Scalas & F. Mainardi, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Papers cond-mat/0203596, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0203596
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    References listed on IDEAS

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    1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    2. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    3. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    4. repec:dau:papers:123456789/12729 is not listed on IDEAS
    5. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    6. Gopikrishnan, P & Plerou, V & Liu, Y & Amaral, L.A.N & Gabaix, X & Stanley, H.E, 2000. "Scaling and correlation in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 362-373.
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