The CTRW in finance: Direct and inverse problems with some generalizations and extensions

Jaume Masoliver, Miquel Montero (), Josep Perelló and George H. Weiss

Physica A: Statistical Mechanics and its Applications, 2007, vol. 379, issue 1, 151-167

Abstract: We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to account for correlated increments of the return.

Keywords: Probability density; Volatility; Market microstructure (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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Working Paper: The CTRW in finance: Direct and inverse problems with some generalizations and extensions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:379:y:2007:i:1:p:151-167

DOI: 10.1016/j.physa.2007.01.001

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