Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study
Clicks: 249
ID: 28550
2015
Article Quality & Performance Metrics
Overall Quality
Improving Quality
0.0
/100
Combines engagement data with AI-assessed academic quality
Reader Engagement
Popular Article
70.5
/100
246 views
199 readers
Trending
AI Quality Assessment
Not analyzed
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 continuoustime
random walk using tick-by-tick quotes prices for the DAX 30 index futures.
| Reference Key |
dleze2015pricejournal
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | Délèze, Frédéric;Osmekhin, Sergey; |
| Journal | journal of engineering science and technology review |
| Year | 2015 |
| DOI |
DOI not found
|
| URL | |
| Keywords | Keywords not found |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.