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Anomalous waiting times in high-frequency financial data

Enrico Scalas·Rudolf Gorenflo·Hugh Luckock·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 imposes constraints on agent-based models of financial markets.

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Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli, Marco Raberto. 2005-05-31. Anomalous waiting times in high-frequency financial data. https://arxiv.org/abs/physics/0505210

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