Waiting times between orders and trades in double-auction markets

Enrico Scalas; Taisei Kaizoji; Michael Kirchler; Jürgen Huber; Alessandra Tedeschi

doi:10.1016/j.physa.2005.09.047

Waiting times between orders and trades in double-auction markets

Enrico Scalas, Taisei Kaizoji, Michael Kirchler, Jürgen Huber, Alessandra Tedeschi

Risultato della ricerca: Contributo su rivista › Articolo in rivista › peer review

Abstract

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

Lingua originale	Inglese
pagine (da-a)	463-471
Numero di pagine	9
Rivista	Physica A: Statistical Mechanics and its Applications
Volume	366
DOI	https://doi.org/10.1016/j.physa.2005.09.047
Stato di pubblicazione	Pubblicato - 1 lug 2006
Pubblicato esternamente	Sì

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10.1016/j.physa.2005.09.047

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abstract = "In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.",

keywords = "Duration, Intertrade duration, Orders, Survival function, Trades, Waiting-times",

author = "Enrico Scalas and Taisei Kaizoji and Michael Kirchler and J{\"u}rgen Huber and Alessandra Tedeschi",

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AU - Huber, Jürgen

AU - Tedeschi, Alessandra

N1 - Funding Information: This work was supported by the Italian M.I.U.R. F.I.S.R. Project “High frequency dynamics of financial markets”. Financial support from the Raiffeisen-Landesbank Tirol and the Center for Experimental Economics at the University of Innsbruck for the experiments is gratefully acknowledged.

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N2 - In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

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Waiting times between orders and trades in double-auction markets

Abstract

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