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

By Marco Raberto, Enrico Scalas, Francesco Mainardi. 2002

537 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7cabfa15ae969d60beb786af7b0a0f143c76e587

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In Management Science and Operations Research

Citations in the corpus

The application of continuous-time random walks in finance and economics (2006, background): “A contingency-table analysis performed on general electric (GE) prices shows that the null hypothesis of independence can be rejected with a significance level of 1% [54].”
A second-order accurate numerical method for the two-dimensional fractional diffusion equation (2007, methodology): “Fractional diffusion equations are used to model problems in physics (see a comprehensive review by Metzler and Klafter [25]), finance [10,16,28,31,30], and hydrology [2,4,5,32,33].”
Triangular array limits for continuous time random walks (2008, background): “Continuous time random walks and the associated fractional diffusion equations are useful in physics [42,43], finance [23,33,41,47,48,52], and hydrology [10,12,55].”
Gegenbauer spectral method for time‐fractional convection–diffusion equations with variable coefficients (2015, background): “They have been used in modeling turbulent flow [5, 6], chaotic dynamics of classical conservation systems [7], and even finance [8, 9] (see [1] for more information).”
An inverse time-dependent source problem for a time-fractional diffusion equation (2016, unknown): “For the last few decades, fractional diffusion equations have attracted great attention not only from mathematicians and engineers but also from many scientists from fields like biology, physics, chemistry and biochemistry, medicine and finance [9, 17, 18, 26, 45, 46].”
A fractional generalization of the Poisson processes (2007, background): “Raberto [20, 14, 9, 18], and, later, by Weiss and co-workers [15].”
The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics (2004, methodology): “For the waiting time between two transactions power-law statistics were observed (Kim and Yoon 2003, Raberto et al 2002, Scalas et al 2000, Mainardi et al 2000).”
A characteristic difference method for the variable-order fractional advection-diffusion equation (2013, unknown): “[22]), statistics (Meerschaert et al.”