{
  "id": "cond-mat/0308017",
  "version": "v2",
  "published": "2003-08-01T15:20:47.000Z",
  "updated": "2006-11-14T16:26:21.000Z",
  "title": "The CTRW in finance: Direct and inverse problems with some generalizations and extensions",
  "authors": [
    "Jaume Masoliver",
    "Miquel Montero",
    "Josep Perello",
    "George H. Weiss"
  ],
  "comment": "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"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2006-11-14T16:26:21.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "inverse problems",
      "generalization",
      "extensions",
      "review earlier approaches",
      "continuous time random walk"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 25,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}