Fractional calculus and continuous-time finance II: the waiting- time distribution

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW) model recently proposed by Scalas et al [4], and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.

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Year of publication:	2004-11-05
Authors:	Mainardi, Francesco ; Raberto, Marco ; Gorenflo, Rudolf ; Scalas, Enrico
Institutions:	EconWPA
Subject:	Duration \| Continuous-time random walk \| Fractional calculus \| Statistical finance

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 17. Preprint pdf version of a paper published in Physica A, vol.287, p.468-481, 2000. 17 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134750