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

Preprint

28 June 2000

preprint
Published by arXiv in arXiv

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.

Keywords

FRACTIONAL CALCULUS
CONTINUOUS TIME
TIME FINANCE
WAITING TIME
RANDOM WALK
FINANCE II
WALK
TICK

All Related Versions

Version 1, 2000-06-28, ArXiv
Version 2, 2000-11-11, ArXiv
Published version: Physica A: Statistical Mechanics and its Applications, 287 (3-4), 468.

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