Waiting-times and returns in high-frequency financial data: An empirical study
From MaRDI portal
(Redirected from Publication:1850394)
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.
Recommendations
- Anomalous waiting times in high-frequency financial data
- Empirical properties of asset returns: stylized facts and statistical issues
- The waiting-time distribution of trading activity in a double auction artificial financial market
- Statistical analysis of high frequency data from the Athens stock exchange
- scientific article; zbMATH DE number 2095956
Cites work
- Fractional kinetic equations: solutions and applications
- scientific article; zbMATH DE number 1642344 (Why is no real title available?)
- scientific article; zbMATH DE number 45702 (Why is no real title available?)
- scientific article; zbMATH DE number 3108589 (Why is no real title available?)
- Introduction to Econophysics
- Random walks on lattices. II
Cited in
(only showing first 100 items - show all)- A comparison of numerical solutions of fractional diffusion models in finance
- A high-order numerical algorithm for two-dimensional time-space tempered fractional diffusion-wave equation
- Universal and non-universal properties of recurrence intervals of rare events
- Two temporal second-order \(H^1\)-Galerkin mixed finite element schemes for distributed-order fractional sub-diffusion equations
- Numerical solution of fractional diffusion-wave equation based on fractional multistep method
- A finite difference scheme based on cubic trigonometric B-splines for a time fractional diffusion-wave equation
- A block-centered finite difference method for the distributed-order time-fractional diffusion-wave equation
- Flow and heat transfer of a generalized Maxwell fluid with modified fractional Fourier's law and Darcy's law
- A fast numerical method for two-dimensional Riesz space fractional diffusion equations on a convex bounded region
- Time-dependent fractional dynamics with memory in quantum and economic physics
- A numerical solution for a class of time fractional diffusion equations with delay
- A fast numerical method for block lower triangular Toeplitz with dense Toeplitz blocks system with applications to time-space fractional diffusion equations
- A fractional spectral method with applications to some singular problems
- An efficient numerical method for a two-point boundary value problem with a Caputo fractional derivative
- Spectral analysis and multigrid preconditioners for two-dimensional space-fractional diffusion equations
- POD/DEIM reduced-order modeling of time-fractional partial differential equations with applications in parameter identification
- Optimal error estimate of the Legendre spectral approximation for space-fractional reaction-advection-diffusion equation
- Non-polynomial spline method for the time-fractional nonlinear Schrödinger equation
- An efficient numerical algorithm for solving the two-dimensional fractional cable equation
- Optimal variational asymptotic method for nonlinear fractional partial differential equations
- On banded \(M\)-splitting iteration methods for solving discretized spatial fractional diffusion equations
- A robust numerical method for a fractional differential equation
- Lie symmetry analysis, conservation laws and similarity reductions of Newell-Whitehead-Segel equation of fractional order
- Numerical method based on Galerkin approximation for the fractional advection-dispersion equation
- A new stable algorithm for fractional Navier-Stokes equation in polar coordinate
- Finite integration method for partial differential equations
- A fast implicit finite difference method for fractional advection-dispersion equations with fractional derivative boundary conditions
- Finite difference approximations for fractional advection-dispersion flow equations
- A characteristic difference scheme for time-fractional heat equations based on the Crank-Nicholson difference schemes
- A direct \(O(N \log ^{2} N)\) finite difference method for fractional diffusion equations
- A banded preconditioning iteration method for time-space fractional advection-diffusion equations
- PCG method with Strang's circulant preconditioner for Hermitian positive definite linear system in Riesz space fractional advection-dispersion equations
- Jacobi collocation scheme for variable-order fractional reaction-subdiffusion equation
- The method of simplified Tikhonov regularization for a time-fractional inverse diffusion problem
- Fractional Hermite interpolation using RBFs in high dimensions over irregular domains with application
- A generalization of trigonometric transform splitting methods for spatial fractional diffusion equations
- Fourth order finite difference schemes for time-space fractional sub-diffusion equations
- Numerical analysis and fast implementation of a fourth-order difference scheme for two-dimensional space-fractional diffusion equations
- Galerkin spectral method for nonlinear time fractional cable equation with smooth and nonsmooth solutions
- Crank-Nicolson-weighted-shifted-Grünwald-difference schemes for space Riesz variable-order fractional diffusion equations
- Global existence of solutions of the time fractional Cahn-Hilliard equation in \(\mathbb{R}^3\)
- Efficient second-order ADI difference schemes for three-dimensional Riesz space-fractional diffusion equations
- Spectral method for the two-dimensional time distributed-order diffusion-wave equation on a semi-infinite domain
- Numerical solution for multi-dimensional Riesz fractional nonlinear reaction-diffusion equation by exponential Runge-Kutta method
- Determining a time-dependent coefficient in a time-fractional diffusion-wave equation with the Caputo derivative by an additional integral condition
- Reconstructing the right-hand side of a fractional subdiffusion equation from the final data
- Option pricing under the subordinated market models
- On \(\tau\) matrix-based approximate inverse preconditioning technique for diagonal-plus-Toeplitz linear systems from spatial fractional diffusion equations
- An unconditionally convergent RSCSCS iteration method for Riesz space fractional diffusion equations with variable coefficients
- An efficient multigrid method with preconditioned smoother for two-dimensional anisotropic space-fractional diffusion equations
- Landweber iteration method for simultaneous inversion of the source term and initial data in a time-fractional diffusion equation
- Simultaneous inversion of a fractional order and a space source term in an anomalous diffusion model
- A pseudo-spectral method based on reproducing kernel for solving the time-fractional diffusion-wave equation
- Interactions of fractional \(N\)-solitons with anomalous dispersions for the integrable combined fractional higher-order mKdV hierarchy
- Efficient numerical techniques for computing the Riesz fractional-order reaction-diffusion models arising in biology
- A GPIU method for fractional diffusion equations
- Wavelet based algorithm for numerical study of \((1+2)\)-dimensional time fractional diffusion problems
- Sinc-Galerkin method for solving the time fractional convection-diffusion equation with variable coefficients
- A second-order numerical scheme for the time-fractional partial differential equations with a time delay
- All-at-once method for variable-order time fractional diffusion equations
- Determination of three parameters in a time-space fractional diffusion equation
- Trade duration risk in subdiffusive financial models
- Gaussian radial basis function and quadrature sinc method for two-dimensional space-fractional diffusion equations
- A Chelyshkov polynomial based algorithm to analyze the transport dynamics and anomalous diffusion in fractional model
- Fractional econophysics: market price dynamics with memory effects
- A preconditioner based on sine transform for space fractional diffusion equations
- Exponential-sum-approximation technique for variable-order time-fractional diffusion equations
- Approximation of Caputo time-fractional diffusion equation using redefined cubic exponential B-spline collocation technique
- Two regularization methods for identifying the source term problem on the time-fractional diffusion equation with a hyper-Bessel operator
- Time-fractional geometric Brownian motion from continuous time random walks
- A reliable numerical algorithm for fractional advection-dispersion equation arising in contaminant transport through porous media
- Theoretical and computational analysis of nonlinear fractional integro-differential equations via collocation method
- Preconditioned quasi-compact boundary value methods for space-fractional diffusion equations
- Simultaneous identification of three parameters in a time-fractional diffusion-wave equation by a part of boundary Cauchy data
- Cagan model of inflation with power-law memory effects
- Fourier spectral method for higher order space fractional reaction-diffusion equations
- Numerical simulations of multilingual competition dynamics with nonlocal derivative
- Determination of the initial data in a time-fractional diffusion-wave problem by a final time data
- An efficient iterative approach for three-dimensional modified anomalous fractional sub-diffusion equations on a large domain
- Dynamic intersectoral models with power-law memory
- Concept of dynamic memory in economics
- Approximation methods for solving fractional equations
- An optimal regularization method for space-fractional backward diffusion problem
- Recovering the aqueous concentration in a multi-layer porous media
- Fast direct solver for CN-ADI-FV scheme to two-dimensional Riesz space-fractional diffusion equations
- A weighted average finite difference method for the fractional convection-diffusion equation
- Stability estimate and the modified regularization method for a Cauchy problem of the fractional diffusion equation
- Circulant preconditioners for a kind of spatial fractional diffusion equations
- New approximations for solving the Caputo-type fractional partial differential equations
- Legendre spectral element method for solving time fractional modified anomalous sub-diffusion equation
- Determination of Robin coefficient in a fractional diffusion problem
- Numerical investigation of the nonlinear modified anomalous diffusion process
- Fractional risk process in insurance
- Stability and convergence based on the finite difference method for the nonlinear fractional cable equation on non-uniform staggered grids
- Approximation methods for solving fractional optimal control problems
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- The accuracy and stability of CN-WSGD schemes for space fractional diffusion equation
- A high-order algorithm for time-Caputo-tempered partial differential equation with Riesz derivatives in two spatial dimensions
- A robust preconditioner for two-dimensional conservative space-fractional diffusion equations on convex domains
- Spectral approximations for nonlinear fractional delay diffusion equations with smooth and nonsmooth solutions
This page was built for publication: Waiting-times and returns in high-frequency financial data: An empirical study
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1850394)
