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On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market | | Naoya Sazuka
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1 Jun 2006 | | Subject: | Physics and Society; Data Analysis, Statistics and Probability | | Abstract: | We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well approximated by a Weibull distribution rather than an exponential distribution in a non-asymptotic regime. Moreover, we quantitatively evaluate how much an empirical data is far from an exponential distribution using a Weibull fit. Finally, we discuss a phase transition between a Weibull-law and a power-law in the asymptotic long waiting time regime. | | Source: | arXiv, physics/0606005 | | Services: | Forum | Review | PDF | Favorites | |
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