Price Formation Modelling by Continuous - Time Random Walk: An Empirical Study
Price Formation Modelling by Continuous - Time Random Walk: An Empirical Study is a scholarly work, published in 2015 in ''Journal of Engineering Science and Technology Review''. The main subjects of the publication include volatility, Continuous-time random walk, econometrics, Markov chain, futures contract, economics, probability density function, manicule, random walk, mathematics, econophysics, and statistical physics. 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.