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The CTRWs in finance: the mean exit time

In: Practical Fruits of Econophysics

Author

Listed:
  • Jaume Masoliver

    (Universitat de Barcelona)

  • Miquel Montero

    (Universitat de Barcelona)

  • Josep Perelló

    (Universitat de Barcelona)

Abstract

Summary The continuous time random walk (CTRW) has become a widely-used tool for studying the microstructure of random process appearing in many physical phenomena. We here report the CTRW analysis applied to the market dynamics which has been recently explored by physicists. We focuss on the mean exit problem.

Suggested Citation

  • Jaume Masoliver & Miquel Montero & Josep Perelló, 2006. "The CTRWs in finance: the mean exit time," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 137-141, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_24
    DOI: 10.1007/4-431-28915-1_24
    as

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