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