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Five Years of Continuous-time Random Walks in Econophysics

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  • Enrico Scalas

Abstract

This paper is a short review on the application of continuos-time random walks to Econophysics in the last five years.

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File URL: http://arxiv.org/pdf/cond-mat/0501261
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/0501261.

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Date of creation: Jan 2005
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Handle: RePEc:arx:papers:cond-mat/0501261

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance, EconWPA 0411014, EconWPA.
  2. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003. "Anomalous waiting times in high-frequency financial data," Papers cond-mat/0310305, arXiv.org.
  3. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance, EconWPA 0411008, EconWPA.
  4. Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.
  5. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
  6. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 73-114, June.
  7. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 50(1), pages 21-36, January.
  8. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 187-212, June.
  9. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance, EconWPA 0411007, EconWPA.
  10. Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee, 2004. "Common Scaling Patterns in Intertrade Times of U. S. Stocks," Papers cond-mat/0403662, arXiv.org.
  11. Hugh Luckock, 2003. "A steady-state model of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(5), pages 385-404.
  12. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, Econometric Society, vol. 66(5), pages 1127-1162, September.
  13. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
  14. Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for the calm-time interval of price changes," Papers cond-mat/0312560, arXiv.org, revised Mar 2006.
  15. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.
  16. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 40, pages 317.
  17. Kyungsik Kim & Seong-Min Yoon, 2002. "Dynamical Behavior of Continuous Tick Data in Futures Exchange Market," Papers cond-mat/0212393, arXiv.org.
  18. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 135-55, January.
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Citations

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Cited by:
  1. Meerschaert, Mark M. & Nane, Erkan & Xiao, Yimin, 2009. "Correlated continuous time random walks," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(9), pages 1194-1202, May.
  2. Paulo Ferreira, 2012. "Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece," CEFAGE-UE Working Papers 2012_24, University of Evora, CEFAGE-UE (Portugal).
  3. Kumar, A. & Meerschaert, Mark M. & Vellaisamy, P., 2011. "Fractional normal inverse Gaussian diffusion," Statistics & Probability Letters, Elsevier, Elsevier, vol. 81(1), pages 146-152, January.
  4. Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006. "Growth and allocation of resources in economics: The agent-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 370(1), pages 86-90.

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