Continuous Time Random Walks with memory and financial distributions

Miquel Montero () and Jaume Masoliver ()
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Jaume Masoliver: Secció de Física Estadística i Interdisciplinària, Departament de Física de la Matèria Condensada, Universitat de Barcelona (UB)

The European Physical Journal B: Condensed Matter and Complex Systems, 2017, vol. 90, issue 11, 1-11

Abstract: Abstract We study financial distributions from the perspective of Continuous Time Random Walks with memory. We review some of our previous developments and apply them to financial problems. We also present some new models with memory that can be useful in characterizing tendency effects which are inherent in most markets. We also briefly study the effect on return distributions of fractional behaviors in the distribution of pausing times between successive transactions.

Date: 2017
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DOI: 10.1140/epjb/e2017-80259-4

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