Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study

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ID: 28550
2015
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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.
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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
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URL
http://www.jestr.org/downloads/Volume8Issue1/fulltext38115.pdf
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