分数阶微积分与连续时间金融 II：等待时间分布
统计力学
2009-10-31 v2 计算金融
摘要
我们补充了基于 Scalas 等人最近提出的连续时间随机游走（CTRW）模型的金融市场逐笔交易动力学理论，并指出其与伦敦 LIFFE 交易的 BUND 期货价格等待时间分布观测行为的一致性。
引用
@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}
}
备注
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