Modeling share price evolution as a continuous time random walk (CTRW) with non-independent price changes and waiting times
A theory which describes the share price evolution at financial markets as a continuous time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function φX,T(x,t), which uses the concept of a Lévy stable distribution, is worked out. The evolution equation is formulated and it is shown that the process is non-Markovian. Finally, the theory is fitted to market data.
Volume (Year): 344 (2004)
Issue (Month): 1 ()
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