Waiting time distributions in financial markets
Department of Physics, Trinity College Dublin 2, Ireland
2 Hibernian Investment Managers, IFSC, Dublin 1, Ireland
Corresponding author: a firstname.lastname@example.org
Published online: 15 May 2002
We study waiting time distributions for data representing two completely different financial markets that have dramatically different characteristics. The first are data for the Irish market during the 19th century over the period 1850 to 1854. A total of 10 stocks out of a database of 60 are examined. The second database is for Japanese yen currency fluctuations during the latter part of the 20th century . The Irish stock activity was recorded on a daily basis and activity was characterised by waiting times that varied from one day to a few months. The Japanese yen data was recorded every minute over 24 hour periods and the waiting times varied from a minute to a an hour or so. For both data sets, the waiting time distributions exhibit power law tails. The results for Irish daily data can be easily interpreted using the model of a continuous time random walk first proposed by Montroll and applied recently to some financial data by Mainardi, Scalas and colleagues. Yen data show a quite different behaviour. For large waiting times, the Irish data exhibit a cut off; the Yen data exhibit two humps that could arise as result of major trading centres in the World.
PACS: 02.50.Ey – Stochastic processes / 02.60.Ed – Interpolation; curve fitting / 05.45.Tp – Time series analysis
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2002