Price formation modelling by continuous-time random walk: an empirical study

Frédéric Délèze, Sergey Osmekhin

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

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 languageEnglish
Peer-reviewed scientific journalJOURNAL OF ENGINEERING SCIENCE AND TECHNOLOGY REVIEW
Volume8
Issue number1
Pages (from-to)12-15
Number of pages4
ISSN1791-9320
Publication statusPublished - 01.11.2014
MoE publication typeA1 Journal article - refereed

Keywords

  • 512 Business and Management
  • KOTA2014

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