Fitting the empirical distribution of intertrade durations

Mauro Politi; Enrico Scalas

doi:10.1016/j.physa.2007.11.018

Fitting the empirical distribution of intertrade durations

Mauro Politi
, Enrico Scalas

Research output: Contribution to journal › Article › peer-review

Abstract

Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.

Original language	English
Pages (from-to)	2025-2034
Number of pages	10
Journal	Physica A: Statistical Mechanics and its Applications
Volume	387
Issue number	8-9
DOIs	https://doi.org/10.1016/j.physa.2007.11.018
Publication status	Published - 15 Mar 2008
Externally published	Yes

Keywords

Econophysics
Non-exponential distribution
Power law
Waiting times

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10.1016/j.physa.2007.11.018

Cite this

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title = "Fitting the empirical distribution of intertrade durations",

abstract = "Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.",

keywords = "Econophysics, Non-exponential distribution, Power law, Waiting times",

author = "Mauro Politi and Enrico Scalas",

note = "Funding Information: The authors wish to acknowledge several inspiring discussions with C. Tsallis and B. Bassetti. This work has been supported by a grant of East-Piedmont University (Ricerca locale 2006, Universit{\`a} degli Studi del Piemonte Orientale).",

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AU - Politi, Mauro

AU - Scalas, Enrico

N1 - Funding Information: The authors wish to acknowledge several inspiring discussions with C. Tsallis and B. Bassetti. This work has been supported by a grant of East-Piedmont University (Ricerca locale 2006, Università degli Studi del Piemonte Orientale).

PY - 2008/3/15

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N2 - Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.

AB - Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.

KW - Econophysics

KW - Non-exponential distribution

KW - Power law

KW - Waiting times

UR - https://www.scopus.com/pages/publications/38349048307

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DO - 10.1016/j.physa.2007.11.018

M3 - Article

SN - 0378-4371

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JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 8-9

ER -

Fitting the empirical distribution of intertrade durations

Abstract

Keywords

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