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

被引：401

作者：

Mainardi, F

Raberto, M

Gorenflo, R

Scalas, E

机构：

[1] Univ Bologna, Dipartmento Fis, I-40126 Bologna, Italy

[2] Ist Nazl Fis Nucl, Sez Bologna, I-40126 Bologna, Italy

[3] Univ Genoa, Dipartimento Ingn Biofis & Elettron, I-16145 Genoa, Italy

[4] Free Univ Berlin, Erstes Math Inst, D-14195 Berlin, Germany

[5] Univ Piemonte Orientale, Dipartimento Sci & Tecnol Avanzate, I-15100 Alessandria, Italy

[6] Ist Nazl Fis Nucl, Sez Torino, I-10125 Turin, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2000年 / 287卷 / 3-4期

关键词：

stochastic processes; continuous-time random walk; fractional calculus; statistical finance; econophysics;

D O I：

10.1016/S0378-4371(00)00386-1

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：468 / 481

页数：14

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