On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high-frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well approximated by a Weibull distribution rather than an exponential distribution in the non-asymptotic regime. Moreover, we quantitatively evaluate how much an empirical data is far from an exponential distribution using a Weibull fit. Finally, we discuss a transition between a Weibull-law and a power-law in the long time asymptotic regime.