@article{f26b36222fdf4aa793ea82161d3ce0b1,
title = "Anomalous waiting times in high-frequency financial data",
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.",
author = "Enrico Scalas and Rudolf Gorenflo and Hugh Luckock and Francesco Mainardi and Maurizio Mantelli and Marco Raberto",
note = "Funding Information: We would like to acknowledge useful discussions with Sergio Focardi of The Intertek Group. This work was supported by grants from the Italian MIUR Project COFIN 2003 {\textquoteleft}Order and Chaos in nonlinear extended systems: coherent structures, weak stochasticity and anomalous transport{\textquoteright} and by the Italian MIUR FISR Project {\textquoteleft}Ultra-high frequency dynamics of financial markets{\textquoteright}.",
year = "2004",
month = dec,
doi = "10.1080/14697680500040413",
language = "English",
volume = "4",
pages = "695--702",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Taylor and Francis Ltd.",
number = "6",
}