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.
|Peer-reviewed scientific journal||JOURNAL OF ENGINEERING SCIENCE AND TECHNOLOGY REVIEW|
|Number of pages||4|
|Publication status||Published - 01.11.2014|
|MoE publication type||A1 Journal article - refereed|
- 512 Business and Management