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

journal contribution
posted on 2023-06-08, 18:27 authored by Francesco Mainardi, Marco Raberto, Rudolf Gorenflo, Enrico Scalas
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.

History

Publication status

  • Published

Journal

Physica A Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

3-4

Volume

287

Page range

468-481

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-10-02

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