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

Francesco Mainardi·Marco Raberto·Rudolf Gorenflo·Enrico Scalas
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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.

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Francesco Mainardi, Marco Raberto, Rudolf Gorenflo, Enrico Scalas. 2000-11-11. Fractional calculus and continuous-time finance II: the waiting-time distribution. https://doi.org/10.1016/s0378-4371(00)00386-1

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