Anomalous waiting times in high-frequency financial data

DOI10.1080/14697680500040413MaRDI QIDQ4610281zbMATH OpenOpenAlexFDO

Authors Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Maurizio Mantelli, Marco Raberto, Francesco Mainardi

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0310305

zbMATH Keywords

high-frequency financial datawaiting-time survival probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Reliability and life testing (62N05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Abstract: 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 sets limits for agent-based models of financial markets.

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Cites work

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• scientific article; zbMATH DE number 2009860 (Why is no real title available?)
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Cited in

(16)

• Optimal execution in high-frequency trading with Bayesian learning
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• Fractional risk process in insurance
• Random numbers from the tails of probability distributions using the transformation method
• Professor Rudolf Gorenflo and his contribution to fractional calculus
• WAITING TIMES IN SIMULATED STOCK MARKETS
• Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
• Recurrent synchronization of coupled oscillators with spontaneous phase reformation
• The evolution and homogeneity of EU economies (with an econometric approach)
• The waiting-time distribution of trading activity in a double auction artificial financial market
• Empirical strategy for stretching probability distribution in neural-network-based regression
• A class of anomalous diffusion epidemic models based on CTRW and distributed delay
• Mixtures of compound Poisson processes as models of tick-by-tick financial data
• Mean exit time and survival probability within the CTRW formalism

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