Fractional calculus and continuous-time finance II: the waiting-time distribution
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. (Physica A 284 (2000) 376), 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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Volume (Year): 287 (2000)
Issue (Month): 3 ()
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References listed on IDEAS
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- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004.
"Fractional calculus and continuous-time finance,"
- 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.
- repec:dau:papers:123456789/12729 is not listed on IDEAS
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
"Fractional calculus and continuous-time finance II: the waiting- time distribution,"
- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
- Gaëlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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