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A continuous time random walk model for financial distributions

Listed author(s):
  • Jaume Masoliver
  • Miquel Montero
  • George H. Weiss

We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the US dollar/Deutsche Mark future exchange, finding good agreement between theory and the observed data.

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Paper provided by in its series Papers with number cond-mat/0210513.

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Date of creation: Oct 2002
Publication status: Published in Physical Review E 67, 021112 (2003)
Handle: RePEc:arx:papers:cond-mat/0210513
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