The waiting-time distribution of LIFFE bond futures

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dc.creatorRaberto, Marco
dc.creatorScalas, Enrico
dc.creatorGorenflo, Rudolf
dc.creatorMainardi, Francesco
dc.date2000-12-28
dc.date.accessioned2026-07-07T12:06:31Z
dc.date.available2026-07-07T12:06:31Z
dc.descriptionWe apply the Continuous Time Random Walk (CTRW) framework, introduced in finance by Scalas et al., to the analysis of the probability distribution of time intervals between two consecutive trades in the case of BTP futures prices traded at LIFFE in 1997. Results corroborate the validity of the CTRW approach for the description of the temporal evolution of financial time series.
dc.descriptionSubmitted to Quantitative Finance, Proceedings of Application of Physics in Financial Analysis II, Liege, 13-15 July 2000
dc.identifierhttps://arxiv.org/abs/cond-mat/0012497
dc.identifierhttp://arxiv.org/abs/cond-mat/0012497
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208677
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleThe waiting-time distribution of LIFFE bond futures
dc.typetext

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