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Five Years of Continuous-time Random Walks in Econophysics


  • Enrico Scalas

    (Universita' del Piemonte Orientale, Alessandria, Italy)


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

Suggested Citation

  • Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0501005
    Note: Type of Document - pdf; pages: 14. Paper presented at WEHIA 2004.

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    References listed on IDEAS

    1. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
    2. Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee, 2004. "Common Scaling Patterns in Intertrade Times of U. S. Stocks," Papers cond-mat/0403662,
    3. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317-317.
    4. Kyungsik Kim & Seong-Min Yoon, 2002. "Dynamical Behavior of Continuous Tick Data in Futures Exchange Market," Papers cond-mat/0212393,
    5. Hugh Luckock, 2003. "A steady-state model of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 385-404.
    6. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    7. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    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, vol. 4(2-3), pages 187-212, June.
    9. Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
    10. Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.
    11. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    12. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    13. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    14. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    15. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for the calm-time interval of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 563-570.
    16. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    17. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    18. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513,
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    Cited by:

    1. Meerschaert, Mark M. & Nane, Erkan & Xiao, Yimin, 2009. "Correlated continuous time random walks," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1194-1202, May.
    2. 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, vol. 370(1), pages 86-90.
    3. Kumar, A. & Meerschaert, Mark M. & Vellaisamy, P., 2011. "Fractional normal inverse Gaussian diffusion," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 146-152, January.
    4. 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).

    More about this item


    Duration; Continuous-time random walk; Fractional calculus; Statistical finance;

    JEL classification:

    • G - Financial Economics

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