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

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Author Info
Francesco Mainardi (University of Bologna)
Marco Raberto (University of Genoa)
Rudolf Gorenflo (Free University of Berlin)
Enrico Scalas (University of East Piedmont)

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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/abs/cond-mat/0006454
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File URL: http://arxiv.org/pdf/cond-mat/0006454
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Paper provided by arXiv.org in its series Quantitative Finance 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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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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. [Downloadable!] (restricted)
  2. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006. "Growth and Allocation of Resources in Economics: The Agent-Based Approach," Quantitative Finance Papers physics/0608221, arXiv.org. [Downloadable!]
  2. B. Düring & G. Toscani, 2007. "Hydrodynamics from kinetic models of conservative economies," CoFE Discussion Paper 07-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  3. J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Quantitative Finance Papers physics/0611138, arXiv.org. [Downloadable!]
    Other versions:
  4. Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Quantitative Finance Papers 0904.1107, arXiv.org, revised Aug 2009. [Downloadable!]
  5. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
  6. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany. [Downloadable!]
  7. Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
  8. Masanao Aoki, 2006. "Growth Patterns of Two Types of Macro-Models: Limiting Behavior of One-and Two-Parameter Poisson-Dirichlet Models," CIRJE F-Series CIRJE-F-446, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  9. Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Quantitative Finance Papers 0911.0057, arXiv.org. [Downloadable!]
  10. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA. [Downloadable!]
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  11. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
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