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Anomalous waiting times in high-frequency financial data
Authors:Enrico Scalas  Rudolf Gorenflo  Hugh Luckock  Francesco Mainardi  Maurizio Mantelli  Marco Raberto
Institution:1. Dipartimento di Scienze e Tecnologie Avanzate , Università del Piemonte Orientale , Via G. Bellini 25, Alessandria, I-15100, Italy;2. INFM , Unità di Genova , Via Dodecaneso 33, I-16149, Genova, Italy;3. Erstes Mathematisches Institut , Freie Universit?t Berlin , Arnimallee 3, Berlin, D-14195, Germany;4. School of Mathematics and Statistics , University of Sydney , Sydney, Australia;5. Dipartimento di Fisica , Università di Bologna and INFN Sezione di Bologna , Via Irnerio 46, Bologna, I-40126, Italy;6. Dipartimento di Scienze e Tecnologie Avanzate , Università del Piemonte Orientale , Via G. Bellini 25, Alessandria, I-15100, Italy;7. Dipartimento di Ingegneria Biofisica ed Elettronica , Università di Genova , Via all'Opera Pia 11a, Genova, I-16145, Italy E-mail: scalas@unipmn.it
Abstract: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.
Keywords:
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