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: Universita' di Bologna, Bologna, Italy
Rudolf Gorenflo: Freie Universitaet Berlin, Berlin, Germany

Finance from EconWPA

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.

Keywords: Duration; Continuous-time random walk; Fractional calculus; Statistical finance (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-fin
Date: 2004-11-05
Note: Type of Document - pdf; pages: 17. Preprint pdf version of a paper published in Physica A, vol.287, p.468-481, 2000.
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Working Paper: Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411008

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