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...
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Eastern Macedonia and Thrace Institute of Technology
2015-01-01
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| Series: | Journal of Engineering Science and Technology Review |
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| Online Access: | http://www.jestr.org/downloads/Volume8Issue1/fulltext38115.pdf |
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doaj-1a2cf7d0005a426584e0dc501ac3f4612020-11-24T22:55:58ZengEastern Macedonia and Thrace Institute of TechnologyJournal of Engineering Science and Technology Review1791-23771791-23772015-01-01811215Price Formation Modelling by Continuous-Time Random Walk: An Empirical StudyFrédéric Délèze0Sergey Osmekhin1Department of Finance and Statistics, Hanken School of Economics, P.O. Box 479, FI-00101, Helsinki, FinlandDepartment of Finance and Statistics, Hanken School of Economics, P.O. Box 479, FI-00101, Helsinki, FinlandMarkovian 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.http://www.jestr.org/downloads/Volume8Issue1/fulltext38115.pdfeconophysicscontinuous-time random walkDAX futuresnon-Markovian modelprice dynamics |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Frédéric Délèze Sergey Osmekhin |
| spellingShingle |
Frédéric Délèze Sergey Osmekhin Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study Journal of Engineering Science and Technology Review econophysics continuous-time random walk DAX futures non-Markovian model price dynamics |
| author_facet |
Frédéric Délèze Sergey Osmekhin |
| author_sort |
Frédéric Délèze |
| title |
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study |
| title_short |
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study |
| title_full |
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study |
| title_fullStr |
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study |
| title_full_unstemmed |
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study |
| title_sort |
price formation modelling by continuous-time random walk: an empirical study |
| publisher |
Eastern Macedonia and Thrace Institute of Technology |
| series |
Journal of Engineering Science and Technology Review |
| issn |
1791-2377 1791-2377 |
| publishDate |
2015-01-01 |
| description |
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. |
| topic |
econophysics continuous-time random walk DAX futures non-Markovian model price dynamics |
| url |
http://www.jestr.org/downloads/Volume8Issue1/fulltext38115.pdf |
| work_keys_str_mv |
AT fredericdeleze priceformationmodellingbycontinuoustimerandomwalkanempiricalstudy AT sergeyosmekhin priceformationmodellingbycontinuoustimerandomwalkanempiricalstudy |
| _version_ |
1725655535722692608 |