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

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  • 1 January 2004
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      • Published in RePEc
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.

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