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 ct 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.
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Titolo: | Fractional calculus and continuous-time finance II: the waiting-time distribution |
Autori: | |
Data di pubblicazione: | 2000 |
Rivista: | |
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 ct 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. |
Handle: | http://hdl.handle.net/11567/388524 |
Appare nelle tipologie: | 01.01 - Articolo su rivista |
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