Sammanfattning
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.
| Originalspråk | Engelska |
|---|---|
| Referentgranskad vetenskaplig tidskrift | JOURNAL OF ENGINEERING SCIENCE AND TECHNOLOGY REVIEW |
| Volym | 8 |
| Nummer | 1 |
| Sidor (från-till) | 12-15 |
| Antal sidor | 4 |
| ISSN | 1791-9320 |
| Status | Publicerad - 01.11.2014 |
| MoE-publikationstyp | A1 Originalartikel i en vetenskaplig tidskrift |
Nyckelord
- 512 Företagsekonomi
- KOTA2014