Fractional calculus and continuous-time finance II: the waiting-time distribution
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چکیده
منابع مشابه
Fractional calculus and continuous-time finance II: the waiting-time distribution
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 [4], 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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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(00)00386-1