期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 287, 期 3-4, 页码 468-481出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4371(00)00386-1
关键词
stochastic processes; continuous-time random walk; fractional calculus; statistical finance; econophysics
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据