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

Author

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  • Mainardi, Francesco
  • Raberto, Marco
  • Gorenflo, Rudolf
  • Scalas, Enrico

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.

Suggested Citation

  • Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    • Handle: RePEc:eee:phsmap:v:287:y:2000:i:3:p:468-481
    DOI: 10.1016/S0378-4371(00)00386-1
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    1. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    2. Gaëlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.
    3. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    4. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    5. repec:dau:papers:123456789/12729 is not listed on IDEAS
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