Anomalous waiting times in high-frequency financial data

DOI10.1080/14697680500040413zbMath1409.62216arXivcond-mat/0310305OpenAlexW2086048771MaRDI QIDQ4610281

Maurizio Mantelli, Enrico Scalas, Hugh Luckock, Rudolf Gorenflo, Marco Raberto, Francesco Mainardi

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0310305

zbMATH Keywords

high-frequency financial datawaiting-time survival probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Reliability and life testing (62N05)

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