Cover Image

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

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.
Year of publication:
2002
Authors: Raberto, Marco ; Scalas, Enrico ; Mainardi, Francesco
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 314.2002, 1, p. 749-755
Publisher: Elsevier
Subject: Stochastic processes | Continuous-time random walk | Statistical finance | Econophysics | Autocorrelation function
Online Resource
Check full text access |
Check Google Scholar
In libraries world-wide (WorldCat)
In German libraries (KVK)
subito order
I need help
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10010872329
Similar items by subject
Similar items by person