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

Author

Listed:
  • Marco Raberto

    (Universita' di Genova, Genova, Italy)

  • Enrico Scalas

    (Universita' del Piemonte Orientale, Alessandria, Italy)

  • Francesco Mainardi

    (Universita' di Bologna, Bologna, Italy)

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.

Suggested Citation

  • Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA.
  • 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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    File URL: http://econwpa.repec.org/eps/fin/papers/0411/0411014.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    4. repec:dau:papers:123456789/12729 is not listed on IDEAS
    5. 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.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Duration; Continuous-time random walk; Fractional calculus; Statistical finance.;

    JEL classification:

    • G - Financial Economics

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