Anomalous waiting times in high-frequency financial data
  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. 
Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi,   Maurizio Mantelli, and Marco Raberto