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., 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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- Le Fol, Gaëlle & Mercier, Ludovic, 1998. "Time Deformation: Definition and Comparisons," Economics Papers from University Paris Dauphine 123456789/12729, Paris Dauphine University.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000.
"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.
- 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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