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The application of continuous-time random walks in finance and economics

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  • Scalas, Enrico

Abstract

This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with the connection between CTRWs and anomalous diffusion. In particular, a simplified version of the well-scaled transition of CTRWs to the diffusive or hydrodynamic limit is presented. In the second part, applications of CTRWs to the ruin theory of insurance companies, to growth and inequality processes and to the dynamics of prices in financial markets are outlined and briefly discussed.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:phsmap:v:362:y:2006:i:2:p:225-239
    DOI: 10.1016/j.physa.2005.11.024
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    References listed on IDEAS

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