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.
|Date of creation:||05 Nov 2004|
|Date of revision:|
|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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- 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.
- Le Fol, Gaëlle & Mercier, Ludovic, 1998. "Time Deformation: Definition and Comparisons," Economics Papers from University Paris Dauphine 123456789/12729, Paris Dauphine University.
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