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

被引：397

作者：

Raberto, M

Scalas, E

Mainardi, F

机构：

[1] Univ Bologna, Dipartimento Fis, I-40126 Bologna, Italy

[2] Ist Nazl Fis Nucl, Sez Bologna, I-40126 Bologna, Italy

[3] Univ Genoa, DIBE, I-16145 Genoa, Italy

[4] Univ Piemonte Orientale, Dipartimento Sci & Tecnol Avanzate, I-15100 Alessandria, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2002年 / 314卷 / 1-4期

关键词：

stochastic processes; continuous-time random walk; statistical finance; econophysics; autocorrelation function;

D O I：

10.1016/S0378-4371(02)01048-8

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：749 / 755

页数：7

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