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

Risultato della ricerca: Contributo su rivista › Articolo in rivista › 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.

Lingua originale	Inglese
pagine (da-a)	2025-2034
Numero di pagine	10
Rivista	Physica A: Statistical Mechanics and its Applications
Volume	387
Numero di pubblicazione	8-9
DOI	https://doi.org/10.1016/j.physa.2007.11.018
Stato di pubblicazione	Pubblicato - 15 mar 2008
Pubblicato esternamente	Sì

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10.1016/j.physa.2007.11.018

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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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KW - Waiting times

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Fitting the empirical distribution of intertrade durations

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