Modeling share price evolution as a continuous time random walk (CTRW) with non-independent price changes and waiting times

Przemysław Repetowicz and Peter Richmond

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 108-111

Abstract: 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.

Keywords: Stochastic processes; CTRW; Lévy distributions; Econophysics (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:108-111

DOI: 10.1016/j.physa.2004.06.097

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