Waiting-times and returns in high-frequency financial data: An empirical study
From MaRDI portal
Publication:1850394
DOI10.1016/S0378-4371(02)01048-8zbMATH Open1001.91033arXivcond-mat/0203596MaRDI QIDQ1850394FDOQ1850394
Authors: Marco Raberto, Enrico Scalas, Francesco Mainardi 
Publication date: 3 December 2002
Published in: Physica A (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/cond-mat/0203596
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
Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)
Cites Work
Cited In (only showing first 100 items - show all)
- A generalization of trigonometric transform splitting methods for spatial fractional diffusion equations
- Fractional Hermite interpolation using RBFs in high dimensions over irregular domains with application
- Numerical solution for multi-dimensional Riesz fractional nonlinear reaction-diffusion equation by exponential Runge-Kutta method
- Optimal variational asymptotic method for nonlinear fractional partial differential equations
- Simultaneous inversion of a fractional order and a space source term in an anomalous diffusion model
- 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
- On banded \(M\)-splitting iteration methods for solving discretized spatial fractional diffusion equations
- Fast solvers for two-dimensional fractional diffusion equations using rank structured matrices
- 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
- The fast implementation of the ADI-CN method for a class of two-dimensional Riesz space-fractional diffusion equations
- Numerical analysis and fast implementation of a fourth-order difference scheme for two-dimensional space-fractional diffusion equations
- Numerical simulations of multilingual competition dynamics with nonlocal derivative
- A robust numerical method for a fractional differential equation
- The accuracy and stability of CN-WSGD schemes for space fractional diffusion equation
- A GPIU method for fractional diffusion equations
- A second-order numerical scheme for the time-fractional partial differential equations with a time delay
- Circulant-based approximate inverse preconditioners for a class of fractional diffusion equations
- All-at-once method for variable-order time fractional diffusion equations
- Identifying a fractional order and a space source term in a time-fractional diffusion-wave equation simultaneously
- Trade duration risk in subdiffusive financial models
- Lie symmetry analysis, conservation laws and similarity reductions of Newell-Whitehead-Segel equation of fractional order
- An approximate inverse preconditioner for spatial fractional diffusion equations with piecewise continuous coefficients
- Tensor-train format solution with preconditioned iterative method for high dimensional time-dependent space-fractional diffusion equations with error analysis
- Gaussian radial basis function and quadrature sinc method for two-dimensional space-fractional diffusion equations
- 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
- Simultaneous identification of three parameters in a time-fractional diffusion-wave equation by a part of boundary Cauchy data
- OPTIMAL CONTROL OF NONLINEAR TIME-DELAY FRACTIONAL DIFFERENTIAL EQUATIONS WITH DICKSON POLYNOMIALS
- Preconditioned quasi-compact boundary value methods for space-fractional diffusion equations
- Global existence of solutions of the time fractional Cahn-Hilliard equation in \(\mathbb{R}^3\)
- LONG MEMORY IN STOCK TRADING
- Fractional risk process in insurance
- A new stable algorithm for fractional Navier-Stokes equation in polar coordinate
- Efficient second-order ADI difference schemes for three-dimensional Riesz space-fractional diffusion equations
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- Spectral method for the two-dimensional time distributed-order diffusion-wave equation on a semi-infinite domain
- A robust preconditioner for two-dimensional conservative space-fractional diffusion equations on convex domains
- Determining a time-dependent coefficient in a time-fractional diffusion-wave equation with the Caputo derivative by an additional integral condition
- Determination of the initial data in a time-fractional diffusion-wave problem by a final time data
- Reconstructing the right-hand side of a fractional subdiffusion equation from the final data
- Stability and convergence based on the finite difference method for the nonlinear fractional cable equation on non-uniform staggered grids
- Gegenbauer Cardinal Functions for the Inverse Source Parabolic Problem with a Time-Fractional Diffusion Equation
- A Chelyshkov polynomial based algorithm to analyze the transport dynamics and anomalous diffusion in fractional model
- 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
- A non-stationary iterative Tikhonov regularization method for simultaneous inversion in a time-fractional diffusion equation
- Fractional econophysics: market price dynamics with memory effects
- Spectral approximations for nonlinear fractional delay diffusion equations with smooth and nonsmooth solutions
- Concept of dynamic memory in economics
- Dynamic intersectoral models with power-law memory
- Fast second-order time two-mesh mixed finite element method for a nonlinear distributed-order sub-diffusion model
- Symbol-based preconditioning for Riesz distributed-order space-fractional diffusion equations
- Analysis of a system of autonomous fractional differential equations
- Elasticity for economic processes with memory: fractional differential calculus approach
- Galerkin spectral method for nonlinear time fractional cable equation with smooth and nonsmooth solutions
- Regularized Reconstruction of the Order in Semilinear Subdiffusion with Memory
- Numerical investigation of the nonlinear modified anomalous diffusion process
- A finite difference scheme based on cubic trigonometric B-splines for a time fractional diffusion-wave equation
- A weighted average finite difference method for the fractional convection-diffusion equation
- A high-order numerical algorithm for two-dimensional time-space tempered fractional diffusion-wave equation
- Finite integration method for partial differential equations
- Gegenbauer spectral method for time-fractional convection-diffusion equations with variable coefficients
- Volatility return intervals analysis of the Japanese market
- Time-dependent fractional dynamics with memory in quantum and economic physics
- A fractional spectral method with applications to some singular problems
- Spectral analysis and multigrid preconditioners for two-dimensional space-fractional diffusion equations
- A fast \(O(N \log N)\) second-order numerical method for space-fractional diffusion equations
- Universal and non-universal properties of recurrence intervals of rare events
- Jacobi collocation scheme for variable-order fractional reaction-subdiffusion equation
- Two temporal second-order \(H^1\)-Galerkin mixed finite element schemes for distributed-order fractional sub-diffusion equations
- A reliable numerical algorithm for fractional advection-dispersion equation arising in contaminant transport through porous media
- A fast direct method for block triangular Toeplitz-like with tri-diagonal block systems from time-fractional partial differential equations
- A block-centered finite difference method for the distributed-order time-fractional diffusion-wave equation
- Time-fractional geometric Brownian motion from continuous time random walks
- Queuing models with Mittag-Leffler inter-event times
- An \(L_{q}(L_{p})\)-theory for the time-fractional evolution equations with variable coefficients
- A numerical technique for solving various kinds of fractional partial differential equations via Genocchi hybrid functions
- Computing fractional Laplacians on complex-geometry domains: algorithms and simulations
- A fractional phase-field model for two-phase flows with tunable sharpness: algorithms and simulations
- Well-posedness of a kind of nonlinear coupled system of fractional differential equations
- Theoretical and computational analysis of nonlinear fractional integro-differential equations via collocation method
- Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution
- Fast ADI method for high dimensional fractional diffusion equations in conservative form with preconditioned strategy
- Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
- A fast \(O(N\log N)\) finite difference method for the one-dimensional space-fractional diffusion equation
- Solution of nonlinear fractional diffusion-wave equation by triangular functions
- A fast numerical method for two-dimensional Riesz space fractional diffusion equations on a convex bounded region
- A numerical solution for a class of time fractional diffusion equations with delay
- Application of modified decomposition method for the analytical solution of space fractional diffusion equation
- Legendre spectral element method for solving time fractional modified anomalous sub-diffusion equation
- A fast numerical method for block lower triangular Toeplitz with dense Toeplitz blocks system with applications to time-space fractional diffusion equations
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
- Landweber iteration method for simultaneous inversion of the source term and initial data in a time-fractional diffusion equation
- Spectral Analysis and Multigrid Methods for Finite Volume Approximations of Space-Fractional Diffusion Equations
- An effective pure meshfree method for 1D/2D time fractional convection-diffusion problems on irregular geometry
- A time-space spectral method for the time-space fractional Fokker-Planck equation and its inverse problem
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)
