Price Formation Modelling by Continuous - Time Random Walk: An Empirical Study

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...

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Veröffentlicht in:	Journal of engineering science and technology review 2015, Vol.8 (1), p.12-15
Hauptverfasser:	Délèze, Frédéric, Osmekhin, Sergey
Format:	Artikel
Sprache:	eng
Schlagworte:	continuous-time random walk DAX futures econophysics non-Markovian model price dynamics
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	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 continuoustime random walk using tick-by-tick quotes prices for the DAX 30 index futures.
ISSN:	1791-9320 1791-2377 1791-2377
DOI:	10.25103/jestr.081.03