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

Francesco Mainardi, Marco Raberto (), Rudolf Gorenflo and Enrico Scalas ()
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Francesco Mainardi: University of Bologna
Rudolf Gorenflo: Free University of Berlin

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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.

Date: 2000-06, Revised 2000-11
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Working Paper: Fractional calculus and continuous-time finance II: the waiting- time distribution (2004)
Journal Article: Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)
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