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

Jaume Masoliver, Miquel Montero (miquel.montero@ub.edu), Josep Perelló (josep.perello@ub.edu) and George H. Weiss

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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.

Date: 2003-08, Revised 2006-11
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Published in Physica A 379 (2007) 151-167

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Journal Article: The CTRW in finance: Direct and inverse problems with some generalizations and extensions (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0308017

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