The waiting-time distribution of LIFFE bond futures

Details The waiting-time distribution of LIFFE bond futures The waiting-time distribution of LIFFE bond futures

2000-12-28

arxiv.org/abs/cond-mat/0012497v1

Physics

Condensed Matter

Disordered Systems and Neural Networks

Submitted to Quantitative Finance, Proceedings of Application of Physics in Financial Analysis II, Liege, 13-15 July 2000

Scientific paper

We apply the Continuous Time Random Walk (CTRW) framework, introduced in
finance by Scalas et al., to the analysis of the probability distribution of
time intervals between two consecutive trades in the case of BTP futures prices
traded at LIFFE in 1997. Results corroborate the validity of the CTRW approach
for the description of the temporal evolution of financial time series.

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