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. (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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Year of publication:	2000
Authors:	Mainardi, Francesco ; Raberto, Marco ; Gorenflo, Rudolf ; Scalas, Enrico
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 287.2000, 3, p. 468-481
Publisher:	Elsevier
Subject:	Stochastic processes \| Continuous-time random walk \| Fractional calculus \| Statistical finance \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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