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

Marco Raberto, Enrico Scalas, Francesco Mainardi

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer 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.

Lingua originaleInglese
pagine (da-a)749-755
Numero di pagine7
RivistaPhysica A: Statistical Mechanics and its Applications
Volume314
Numero di pubblicazione1-4
DOI
Stato di pubblicazionePubblicato - 2002
Pubblicato esternamente

Fingerprint

Entra nei temi di ricerca di 'Waiting-times and returns in high-frequency financial data: An empirical study'. Insieme formano una fingerprint unica.

Cita questo