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Waiting times between orders and trades in double-auction markets

journal contribution
posted on 2023-06-08, 18:26 authored by Enrico Scalas, Taisei Kaizoji, Michael Kirchler, Jürgen Huber, Alessandra Tedeschi
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.

History

Publication status

  • Published

Journal

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Volume

366

Page range

463-471

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-30

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