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

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

Lingua originale	Inglese
pagine (da-a)	749-755
Numero di pagine	7
Rivista	Physica A: Statistical Mechanics and its Applications
Volume	314
Numero di pubblicazione	1-4
DOI	https://doi.org/10.1016/S0378-4371(02)01048-8
Stato di pubblicazione	Pubblicato - 2002
Pubblicato esternamente	Sì

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10.1016/S0378-4371(02)01048-8

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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.",

keywords = "Autocorrelation function, Continuous-time random walk, Econophysics, Statistical finance, Stochastic processes",

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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

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

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

Abstract

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