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

Author

Listed:
  • Francesco Mainardi

    (Universita' di Bologna, Bologna, Italy)

  • Marco Raberto

    (Universita' di Genova, Genova, Italy)

  • Rudolf Gorenflo

    (Freie Universitaet Berlin, Berlin, Germany)

  • Enrico Scalas

    (Universita' del Piemonte Orientale, Alessandria, Italy)

Abstract

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 [4], and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.

Suggested Citation

  • Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0411008
    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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    File URL: http://econwpa.repec.org/eps/fin/papers/0411/0411008.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. repec:dau:papers:123456789/12729 is not listed on IDEAS
    3. 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.
    4. Gaƫlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Duration; Continuous-time random walk; Fractional calculus; Statistical finance;

    JEL classification:

    • G - Financial Economics

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