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

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  • Francesco Mainardi

    (University of Bologna)

  • Marco Raberto

    (University of Genoa)

  • Rudolf Gorenflo

    (Free University of Berlin)

  • Enrico Scalas

    (University of East Piedmont)

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.

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File URL: http://arxiv.org/pdf/cond-mat/0006454
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/0006454.

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Date of creation: Jun 2000
Date of revision: Nov 2000
Handle: RePEc:arx:papers:cond-mat/0006454

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Web page: http://arxiv.org/

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  1. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
  2. Le Fol, Gaƫlle & Mercier, Ludovic, 1998. "Time Deformation: Definition and Comparisons," Economics Papers from University Paris Dauphine 123456789/12729, Paris Dauphine University.
  3. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
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