{
  "id": "cond-mat/0210513",
  "version": "v1",
  "published": "2002-10-23T12:24:34.000Z",
  "updated": "2002-10-23T12:24:34.000Z",
  "title": "A continuous time random walk model for financial distributions",
  "authors": [
    "Jaume Masoliver",
    "Miquel Montero",
    "George H. Weiss"
  ],
  "comment": "14 pages, 5 figures, revtex4, submitted for publication",
  "journal": "Physical Review E 67, 021112 (2003)",
  "doi": "10.1103/PhysRevE.67.021112",
  "categories": [
    "cond-mat.stat-mech",
    "q-fin.ST"
  ],
  "abstract": "We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the US dollar/Deutsche Mark future exchange, finding good agreement between theory and the observed data.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2002-10-23T12:24:34.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "05.40.Jc",
      "89.65.Gh",
      "02.50.Ey",
      "05.45.Tp"
    ],
    "keywords": [
      "continuous time random walk model",
      "financial distributions",
      "entire distribution",
      "auxiliary densities",
      "corresponding probability density"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "publisher": "APS",
      "journal": "Physical Review E",
      "year": 2003,
      "month": "Feb",
      "volume": 67,
      "number": 2,
      "pages": "021112"
    },
    "note": {
      "typesetting": "RevTeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2003PhRvE..67b1112M"
    }
  }
}