Authors
Enrico Scalas 7, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli, Marco Raberto
Publication date
2004/12/1
Journal
Quantitative Finance
Volume
4
Issue
6
Pages
695-702
Publisher
Taylor & Francis Group
Description
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows that the waiting-time survival probability for high-frequency data is non-exponential. This fact imposes constraints on agent-based models of financial markets.
Total citations
Scholar articles
E Scalas 7, R Gorenflo, H Luckock, F Mainardi… - Quantitative Finance, 2004