Waiting times between orders and trades in double-auction markets
arXiv:physics/0608273 · doi:10.1016/j.physa.2005.09.047
Abstract
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.
19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, UK
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