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 walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows that the waiting-time survival… (More)
Continuous-time random walks can be used as phenomenological models of high-frequency time dynamics in financial markets. Empirical analyses show that the intertrade durations (or waiting-times) are non-exponentially distributed. This fact imposes constraints on agent-based models of financial markets based on continuous-double auctions.