arXiv:cond-mat/0308017 Abstract

arXiv:cond-mat/0308017Abstract References Reviews Resources

The CTRW in finance: Direct and inverse problems with some generalizations and extensions

Jaume Masoliver, Miquel Montero, Josep Perello, George H. Weiss

Published 2003-08-01, updated 2006-11-14Version 2

We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to account for correlated increments of the return.

Comments: 25 pages, 3 figures, Elsart, submitted for publication

Journal: Physica A 379 (2007) 151-167

DOI: 10.1016/j.physa.2007.01.001

Categories: cond-mat.stat-mech, physics.soc-ph, q-fin.ST

Keywords: inverse problems, generalization, extensions, review earlier approaches, continuous time random walk

Tags: journal article

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