  In high-frequency financial data not only returns, but also waiting times
between consecutive trades are random variables. Therefore, it is possible to
apply continuous-time random walks (CTRWs) as phenomenological models of the
high-frequency price dynamics. An empirical analysis performed on the 30 DJIA
stocks shows that the waiting-time survival probability for high-frequency data
is non-exponential. This fact imposes constraints on agent-based models of
financial markets.
