BFS 2002

Poster Presentation




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

Francesco Mainardi, Marco Raberto, Enrico Scalas


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.