  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.
