TY - JOUR
T1 - Waiting-times and returns in high-frequency financial data
T2 - An empirical study
AU - Raberto, Marco
AU - Scalas, Enrico
AU - Mainardi, Francesco
PY - 2002
Y1 - 2002
N2 - 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.
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 - http://www.scopus.com/inward/record.url?scp=0036949980&partnerID=8YFLogxK
U2 - 10.1016/S0378-4371(02)01048-8
DO - 10.1016/S0378-4371(02)01048-8
M3 - Article
SN - 0378-4371
VL - 314
SP - 749
EP - 755
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 1-4
ER -