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
|Published - 01.11.2014
|MoE publication type
|A1 Journal article - refereed
- 512 Business and Management