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 prob...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Eastern Macedonia and Thrace Institute of Technology
2015-01-01
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| Series: | Journal of Engineering Science and Technology Review |
| Subjects: | |
| Online Access: | http://www.jestr.org/downloads/Volume8Issue1/fulltext38115.pdf |