2000/12/28 by Raberto, Marco, Scalas, Enrico, Gorenflo, Rudolf +1
#Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Economics and business #FOS: Physical sciences #Statistical Mechanics (cond-mat.stat-mech) #Trading and Market Microstructure (q-fin.TR)
paper · doi:10.48550/arxiv.cond-mat/0012497
We 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.