Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study
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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.
| Reference Key |
dleze2015pricejournal
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| Authors | Délèze, Frédéric;Osmekhin, Sergey; |
| Journal | journal of engineering science and technology review |
| Year | 2015 |
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| Keywords | Keywords not found |
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