Fractional calculus and continuous-time finance II: the waiting-time distribution
Francesco Mainardi, Marco Raberto, Rudolf Gorenflo, Enrico Scalas
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., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.
Create a lesson
Related papers
Robust Golden Ratio universality as a consequence of a circulant symmetry
Luka Paljk, Johannes Schmidt, Vladislav Popkov
Replica Transition at Measurement-Altered Ising Criticality
Kabir Khanna, Sara Murciano, Romain Vasseur
Scalene Yang-Baxter triples realize all nearest-neighbour Hamiltonians with global additive symmetries
Pramod Padmanabhan, Somnath Maity, Akash Sinha et al.
Graph-theoretic framework for semi-Markov networks: transient and stationary occupation probabilities, hitting times and weak ergodicity breaking
Julian Voits
Spectral optimization of spherical lattices and applications to classical and quantum interacting spin systems
Jonas Völler, Grigorios Makris, Fabian Hassler et al.
Entropic-ordered superfluid
Isabella Zane, Andrew Lucas