Fitting the empirical distribution of intertrade durations

被引：53

作者：

Politi, Mauro ^{[1
]}

Scalas, Enrico ^{[2
]}

机构：

[1] Univ Milan, Dept Phys, I-20133 Milan, Italy

[2] Univ Piemonte Orientale, Dept Adv Sci & Technol, Lab Complex Syst, I-15100 Alessandria, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 8-9期

关键词：

econophysics; waiting times; non-exponential distribution; power law;

D O I：

10.1016/j.physa.2007.11.018

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the Tsallis q-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：2025 / 2034

页数：10

共 20 条

[1] An empirical investigation of Australian Stock Exchange data [J].