Physics – Condensed Matter – Disordered Systems and Neural Networks
Scientific paper
2000-12-28
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.
Gorenflo Rudolf
Mainardi Francesco
Raberto Marco
Scalas Enrico
No associations
LandOfFree
The waiting-time distribution of LIFFE bond futures does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with The waiting-time distribution of LIFFE bond futures, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The waiting-time distribution of LIFFE bond futures will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-561509