Article ID Journal Published Year Pages File Type
978635 Physica A: Statistical Mechanics and its Applications 2006 9 Pages PDF
Abstract

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
, , , , ,