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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 ScalasWe 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 ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
3-4Volume
287Page range
468-481Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-10-02Usage metrics
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