Title of article
Fractional calculus and continuous-time finance II: the waiting-time distribution
Author/Authors
Francesco Mainardi، نويسنده , , Marco RABERTO، نويسنده , , Rudolf Gorenflo، نويسنده , , Enrico Scalas، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
14
From page
468
To page
481
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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2000
Journal title
Physica A Statistical Mechanics and its Applications
Record number
866847
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