A continuous time random walk model for financial distributions
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0210513.
Date of creation: Oct 2002
Date of revision:
Publication status: Published in Physical Review E 67, 021112 (2003)
Contact details of provider:
Web page: http://arxiv.org/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Enrico Scalas, 2005.
"Five Years of Continuous-time Random Walks in Econophysics,"
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA.
- Jaume Masoliver & Miquel Montero & Josep Perello, .
"The continuous time random walk formalism in financial markets,"
Modeling, Computing, and Mastering Complexity 2003
24, Society for Computational Economics.
- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Papers physics/0611138, arXiv.org.
- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
"The distribution of first-passage times and durations in FOREX and future markets,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 388(14), pages 2839-2853.
- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008. "The distribution of first-passage times and durations in FOREX and future markets," Papers 0808.0372, arXiv.org.
- Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
- Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.
- Javier Villarroel & Miquel Montero, 2008. "On properties of Continuous-Time Random Walks with Non-Poissonian jump-times," Papers 0812.2148, arXiv.org.
- Vallois, Pierre & Tapiero, Charles S., 2007. "Memory-based persistence in a counting random walk process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.