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

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Author Info
Francesco Mainardi (Universita' di Bologna, Bologna, Italy)
Marco Raberto (Universita' di Genova, Genova, Italy)
Rudolf Gorenflo (Freie Universitaet Berlin, Berlin, Germany)
Enrico Scalas (Universita' del Piemonte Orientale, Alessandria, Italy)

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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 [4], 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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Publisher Info
Paper provided by EconWPA in its series Finance with number 0411008.

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Length: 17 pages
Date of creation: 05 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0411008

Note: Type of Document - pdf; pages: 17. Preprint pdf version of a paper published in Physica A, vol.287, p.468-481, 2000.
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Related research
Keywords: Duration; Continuous-time random walk; Fractional calculus; Statistical finance;

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Find related papers by JEL classification:
G - Financial Economics

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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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Full references

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. 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!]
  2. 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!]
  3. 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!]
  4. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
    Other versions:
  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. 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:
  7. 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!]
  8. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA. [Downloadable!]
    Other versions:
  9. 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!]
  10. 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!]
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