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- Title
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study.
- Authors
Délèze, Frédéric; Osmekhin, Sergey
- Abstract
Markovian and non-Markovian models are presented to model the futures market price formation. We show that the waiting-time and the survival probabilities have a significant impact on the price dynamics. This study tests analytical solutions and present numerical results for the probability density function of the continuous-time random walk using tick-by-tick quotes prices for the DAX 30 index futures. Keywords: econophysics, continuous-time random walk, DAX futures, non-Markovian model, price dynamics
- Subjects
MARKET prices; RANDOM walks; PROBABILITY density function; MARKOV processes; PRICE Formation (Va. &; W. Va.)
- Publication
Journal of Engineering Science & Technology Review, 2015, Vol 8, Issue 1, p12
- ISSN
1791-2377
- Publication type
Article