Fractional calculus and continuous-time finance II: the waiting-time distribution
Statistical Mechanics
2009-10-31 v2 Computational Finance
Abstract
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., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.
Keywords
Cite
@article{arxiv.cond-mat/0006454,
title = {Fractional calculus and continuous-time finance II: the waiting-time distribution},
author = {Francesco Mainardi and Marco Raberto and Rudolf Gorenflo and Enrico Scalas},
journal= {arXiv preprint arXiv:cond-mat/0006454},
year = {2009}
}
Comments
Revised version, 17 pages, 4 figures. Physica A, Vol. 287, No 3-4, 468--481 (2000). Proceedings of the International Workshop on "Economic Dynamics from the Physics Point of View", Bad-Honnef (Germany), 27-30 March 2000