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

Mainardi, Francesco, Raberto, Marco, Gorenflo, Rudolf and Scalas, Enrico (2000) Fractional calculus and continuous-time finance II: the waiting-time distribution. Physica A Statistical Mechanics and its Applications, 287 (3-4). pp. 468-481. ISSN 0378-4371

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

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 02 Oct 2014 11:32
Last Modified: 02 Oct 2014 11:32
URI: http://sro.sussex.ac.uk/id/eprint/50301
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