Waiting times between orders and trades in double-auction markets

Physica A: Statistical Mechanics and its Applications

Volumn 366, Issue , 2006, Pages 463-471

  Scalas, Enrico ^a,b   Kaizoji, Taisei ^c   Kirchler, Michael ^d   Huber, Jürgen ^d   Tedeschi, Alessandra ^e  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b INFM   (Italy)

^c INTERNATIONAL CHRISTIAN UNIVERSITY   (Japan)

^d UNIVERSITY OF INNSBRUCK   (Austria)

^e SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Duration; Intertrade duration; Orders; Survival function; Trades; Waiting times

Indexed keywords

DATA REDUCTION; MARKETING; MATHEMATICAL MODELS; MICROSTRUCTURE;

DURATION; INTERTRADE DURATION; ORDERS; SURVIVAL FUNCTION; WAITING TIMES;

FUNCTIONS;

EID: 33646190687     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.09.047     Document Type: Article

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