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

  • Francesco Mainardi

    (University of Bologna)

  • Marco Raberto

    (University of Genoa)

  • Rudolf Gorenflo

    (Free University of Berlin)

  • Enrico Scalas

    (University of East Piedmont)

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/pdf/cond-mat/0006454
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Paper provided by arXiv.org in its series 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
Contact details of provider: Web page: http://arxiv.org/

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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. 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.
  3. Le Fol, Gaƫlle & Mercier, Ludovic, 1998. "Time Deformation: Definition and Comparisons," Economics Papers from University Paris Dauphine 123456789/12729, Paris Dauphine University.
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