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

Authors
Mainardi, F Raberto, M Gorenflo, R Scalas, E
Citation
F. Mainardi et al., Fractional calculus and continuous-time finance II: the waiting-time distribution, PHYSICA A, 287(3-4), 2000, pp. 468-481
Citations number
30
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
287
Issue
3-4
Year of publication
2000
Pages
468 - 481
Database
ISI
SICI code
0378-4371(200012)287:3-4<468:FCACFI>2.0.ZU;2-R
Abstract
We complement the theory of tick-by-tick dynamics of financial markets base d 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 t he behaviour observed in the waiting-time distribution for BUND future pric es traded at LIFFE, London. (C) 2000 Elsevier Science B.V. All rights reser ved.