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.