Waiting-times and returns in high-frequency financial data: an empirical study

TL;DR

This paper analyzes the statistical properties of waiting times and returns in high-frequency GE stock data, comparing empirical findings with continuous-time random walk model predictions to understand market microstructure dynamics.

Contribution

It provides an empirical analysis of high-frequency trading data and evaluates the applicability of continuous-time random walk models to describe waiting times and returns.

Findings

Waiting times exhibit heavy-tailed distributions.

Returns are consistent with certain random walk models.

Empirical data partially aligns with theoretical predictions.

Abstract

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.