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.
| Original language | English |
|---|---|
| Peer-reviewed scientific journal | Journal of Engineering Science and Technology Review |
| Volume | 8 |
| Issue number | 1 |
| Pages (from-to) | 12-15 |
| Number of pages | 4 |
| ISSN | 1791-9320 |
| Publication status | Published - 01.11.2014 |
| MoE publication type | A1 Journal article - refereed |
Keywords
- 512 Business and Management
- KOTA2014