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

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

2000-06-28

arxiv.org/abs/cond-mat/0006454v2

Physics

Condensed Matter

Statistical Mechanics

Revised version, 17 pages, 4 figures. Physica A, Vol. 287, No 3-4, 468--481 (2000). Proceedings of the International Workshop

Scientific paper

10.1016/S0378-4371(00)00386-1

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.

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