2 papers
physics.soc-ph2005
Anomalous waiting times in high-frequency financial data
Enrico Scalas, Rudolf Gorenflo, Hugh Luckock +3
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random…
cond-mat.stat-mech2003
Anomalous waiting times in high-frequency financial data
Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi +2
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random…