Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study
Délèze, Frédéric;Osmekhin, Sergey;
journal of engineering science and technology review2015Vol. 8pp. 12-15
234
dleze2015pricejournal
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 continuoustime
random walk using tick-by-tick quotes prices for the DAX 30 index futures.