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

Raberto, Marco, Scalas, Enrico and Mainardi, Francesco (2002) Waiting-times and returns in high-frequency financial data: an empirical study. Physica A: Statistical Mechanics and its Applications, 314 (1-4). pp. 749-755. ISSN 0378-4371

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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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 01 Oct 2014 13:21
Last Modified: 01 Oct 2014 13:21
URI: http://sro.sussex.ac.uk/id/eprint/50293
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