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

Marco Raberto; Enrico Scalas; Francesco Mainardi

doi:10.1016/S0378-4371(02)01048-8

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

Marco Raberto
, Enrico Scalas
, Francesco Mainardi

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

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.

Original language	English
Pages (from-to)	749-755
Number of pages	7
Journal	Physica A: Statistical Mechanics and its Applications
Volume	314
Issue number	1-4
DOIs	https://doi.org/10.1016/S0378-4371(02)01048-8
Publication status	Published - 2002
Externally published	Yes

Keywords

Autocorrelation function
Continuous-time random walk
Econophysics
Statistical finance
Stochastic processes

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10.1016/S0378-4371(02)01048-8

Cite this

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title = "Waiting-times and returns in high-frequency financial data: An empirical study",

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.",

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AU - Scalas, Enrico

AU - Mainardi, Francesco

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AB - 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.

KW - Autocorrelation function

KW - Continuous-time random walk

KW - Econophysics

KW - Statistical finance

KW - Stochastic processes

UR - https://www.scopus.com/pages/publications/0036949980

U2 - 10.1016/S0378-4371(02)01048-8

DO - 10.1016/S0378-4371(02)01048-8

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JF - Physica A: Statistical Mechanics and its Applications

IS - 1-4

ER -

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

Abstract

Keywords

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