Fractional calculus and continuous-time finance II: the waiting-time distribution
Fractional calculus and continuous-time finance II: the waiting-time distribution
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DOI：
10.1016/s0378-4371(00)00386-1
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发表时间：
2000-12-01
影响因子：
3.3
通讯作者：
Scalas, E
中科院分区：
文献类型：
--
作者：
Mainardi, F;Raberto, M;Scalas, E
我们补充了金融市场的连续时间随机游走（CTRW）模型的基础上，最近提出的连续时间随机游走（物理A 284（2000）376）的理论，我们指出它的一致性观察到的行为在等待时间分布的BUND期货价格在伦敦伦敦的伦敦国际金融期货交易所。(C)2000 Elsevier Science B.V.保留所有权利。
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 ct 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. (C) 2000 Elsevier Science B.V. All rights reserved.