On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

@article{Sazuka2007OnTG,
  title={On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market},
  author={Naoya Sazuka},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2007},
  volume={376},
  pages={500-506}
}
  • N. Sazuka
  • Published 31 May 2006
  • Mathematics
  • Physica A-statistical Mechanics and Its Applications

Figures and Tables from this paper

Queueing theoretical analysis of foreign currency exchange rates
TLDR
It is found that the assumption of exponential distribution for the first-passage process of the Sony Bank US dollar/Japanese yen (USD/JPY) exchange rate should be rejected and that a Weibull distribution seems more suitable for explaining the stochastic process.
Volatility return intervals analysis of the Japanese market
Abstract.We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find
The Meixner process for financial data
The most famous Black-Scholes model is based on the assumption that the log-returns of financial data follow a normal distribution. Several studies performed show empirical evidence against such
Empirical properties of inter-cancellation durations in the Chinese stock market
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models.
...
...

References

SHOWING 1-10 OF 13 REFERENCES
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
This paper proposes a new statistical model for the analysis of data which arrive at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of
...
...