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Anomalous waiting times in high-frequency financial data

Enrico Scalas·Rudolf Gorenflo·Francesco Mainardi·Maurizio Mantelli·Marco Raberto
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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 sets limits for agent-based models of financial markets.

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Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi, Maurizio Mantelli, Marco Raberto. 2003-10-14. Anomalous waiting times in high-frequency financial data. https://arxiv.org/abs/cond-mat/0310305

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