Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 287, Issue 3-4, Pages 468-481Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4371(00)00386-1
Keywords
stochastic processes; continuous-time random walk; fractional calculus; statistical finance; econophysics
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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.
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