This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jaume Masoliver
Miquel Montero
Josep Perello
George H. Weiss

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://arxiv.org/abs/cond-mat/0308017
File Format: text/html
File Function: Abstract
Download Restriction: no
File URL: http://arxiv.org/pdf/cond-mat/0308017
File Format: application/pdf
File Function: Latest version
Download Restriction: no

Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0308017.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Aug 2003
Date of revision: Nov 2006
Publication status: Published in Physica A 379 (2007) 151-167
Handle: RePEc:arx:papers:cond-mat/0308017

Contact details of provider:
Web page: http://arxiv.org/

For technical questions regarding this item, or to correct its listing, contact: (arXiv administrators).

Related research
Keywords:

Statistics
Access and download statistics

Did you know? IDEAS also indexes book chapters.

This page was last updated on 2009-12-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.