The CTRWs in finance: the mean exit time

Jaume Masoliver, Miquel Montero and Josep Perelló
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Jaume Masoliver: Universitat de Barcelona
Miquel Montero: Universitat de Barcelona
Josep Perelló: Universitat de Barcelona

A chapter in Practical Fruits of Econophysics, 2006, pp 137-141 from Springer

Abstract: Summary The continuous time random walk (CTRW) has become a widely-used tool for studying the microstructure of random process appearing in many physical phenomena. We here report the CTRW analysis applied to the market dynamics which has been recently explored by physicists. We focuss on the mean exit problem.

Keywords: Continuous Time Random Walk; high-frequency data; waiting time; mean exit time (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_24

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DOI: 10.1007/4-431-28915-1_24

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