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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)

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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File URL: http://128.118.178.162/eps/fin/papers/0411/0411008.pdf
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Bibliographic 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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Web page: http://128.118.178.162

Related research

Keywords: Duration; Continuous-time random walk; Fractional calculus; Statistical finance;

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  1. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "Fractional calculus and continuous-time finance," Papers cond-mat/0001120, arXiv.org.
  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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