The waiting-time distribution of LIFFE bond futures
Disordered Systems and Neural Networks
2008-12-02 v1 Statistical Mechanics
Trading and Market Microstructure
Abstract
We apply the Continuous Time Random Walk (CTRW) framework, introduced in finance by Scalas et al., to the analysis of the probability distribution of time intervals between two consecutive trades in the case of BTP futures prices traded at LIFFE in 1997. Results corroborate the validity of the CTRW approach for the description of the temporal evolution of financial time series.
Keywords
Cite
@article{arxiv.cond-mat/0012497,
title = {The waiting-time distribution of LIFFE bond futures},
author = {Marco Raberto and Enrico Scalas and Rudolf Gorenflo and Francesco Mainardi},
journal= {arXiv preprint arXiv:cond-mat/0012497},
year = {2008}
}
Comments
Submitted to Quantitative Finance, Proceedings of Application of Physics in Financial Analysis II, Liege, 13-15 July 2000