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

Francesco Mainardi, Marco Raberto, Rudolf Gorenflo and Enrico Scalas

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 3, 468-481

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. (Physica A 284 (2000) 376), and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.

Keywords: Stochastic processes; Continuous-time random walk; Fractional calculus; Statistical finance; Econophysics (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (125)

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Working Paper: Fractional calculus and continuous-time finance II: the waiting- time distribution (2004)
Working Paper: Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:287:y:2000:i:3:p:468-481

DOI: 10.1016/S0378-4371(00)00386-1

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