The Pareto distribution (Type Ⅲ) gives a good first approximation to the transaction intervals of Nikkei 225 Futures in the OSE

Abstract

Through empirical analysis, this note shows that the time intervals between the consecutive transactions of Nikkei 225 Futures in the Osaka Securities Exchange substantially follow identical Pareto distribution of type Ⅲ independently if the length of observation period is fixed at 15 minutes. This result is expected to give a possible suggestion when we develop a real time simulator of a stock market.