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Fitting the empirical distribution of intertrade durations
journal contribution
posted on 2023-06-08, 18:25 authored by Mauro Politi, Enrico ScalasBased on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.
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Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
8-9Volume
387Page range
2025-2034Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-25Usage metrics
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