Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978989 | Physica A: Statistical Mechanics and its Applications | 2008 | 10 Pages |
Abstract
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 qq-exponentials are a viable tool for fitting and describing the unconditional distribution of empirical intertrade durations and they compare well to the Weibull distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Mauro Politi, Enrico Scalas,