Fractional calculus and continuous-time finance II: the waiting-time distribution
作者： Francesco Mainardi , Marco Raberto , Rudolf Gorenflo , Enrico Scalas
DOI: 10.1016/S0378-4371(00)00386-1
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摘要: We complement the theory of tick-by-tick dynamics financial markets based on a continuous-time random walk (CTRW) model recently proposed by Scalas et al [4], and we point out its consistency with behaviour observed in waiting-time distribution for BUND future prices traded at LIFFE, London.
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