Survival probability of LIFFE bond futures via the Mittag-Leffler function

  • Francesco Mainardi
  • Marco Raberto
  • Enrico Scalas
  • Rudolf Gorenflo
Conference paper


The tick-by-tick dynamics of financial markets can be modeled by a continuous-time random walk (CTRW), as recently proposed by Scalas et al [16]. Here we point out the consistency of the model with the empirical analysis of the survival probability for certain bond futures (BUND and BTP) traded in 1997 at LIFFE, London. This requires the introduction of the Mittag-Leffler function as interpolating between a stretched exponential at small times and power-law at large times.


Master Equation Fractional Derivative Fractional Calculus Delivery Date Caputo Fractional Derivative 
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Copyright information

© Springer Japan 2002

Authors and Affiliations

  • Francesco Mainardi
    • 1
  • Marco Raberto
    • 2
  • Enrico Scalas
    • 3
    • 4
  • Rudolf Gorenflo
    • 5
  1. 1.Dipartimento di FisicaUniversità di Bologna and INFN Sezione di BolognaBolognaItaly
  2. 2.Dipartimento di Ingegneria Biofisica ed ElettronicaUniversità di GenovaGenovaItaly
  3. 3.Dipartimento di Scienze e Tecnologie AvanzateUniversità del Piemonte OrientaleAlessandriaItaly
  4. 4.INFN Sezione di TorinoTorinoItaly
  5. 5.Erstes Mathematisches InstitutFreie Universität BerlinBerlinGermany

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