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The waiting-time distribution of LIFFE bond futures

Author

Listed:
  • Marco Raberto
  • Enrico Scalas
  • Rudolf Gorenflo
  • Francesco Mainardi

Abstract

We apply the Continuous Time Random Walk (CTRW) framework, introduced in finance by Scalas et al., to the analysis of the probability distribution of time intervals between two consecutive trades in the case of BTP futures prices traded at LIFFE in 1997. Results corroborate the validity of the CTRW approach for the description of the temporal evolution of financial time series.

Suggested Citation

  • Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "The waiting-time distribution of LIFFE bond futures," Papers cond-mat/0012497, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0012497
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    File URL: http://arxiv.org/pdf/cond-mat/0012497
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    Cited by:

    1. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for the calm-time interval of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 563-570.

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