Anomalous waiting times in high-frequency financial data

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...

Anomalous processes with general waiting times: functionals and multipoint structure.

Many transport processes in nature exhibit anomalous diffusive properties with nontrivial scaling of the mean square displacement, e.g., diffusion of cells or of biomolecules inside the cell nucleus, where typically a crossover between different scaling regimes appears over time. Here, we investigate a class of anomalous diffusion processes that is able to capture such complex dynamics by virtu...

Analysis of High Frequency Financial Data

Time-dependent scaling patterns in high frequency financial data

We measure the influence of different time-scales on the intraday dynamics of financial markets. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures of complexity: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices ...

High frequency data in financial markets: Issues and applications

The development of high frequency data bases allows for empirical investigations of a wide range of issues in the financial markets. In this paper, we set out some of the many important issues connected with the use, analysis, and application of high-frequency data sets. These include the effects of market structure on the availability and interpretation of the data, methodological issues such ...