The CTRW in finance: Direct and inverse problems with some generalizations and extensions
Jaume Masoliver, Miquel Montero, Josep Perello, George H. Weiss
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.
Create a lesson
Related papers
Global Minima of the Thomson Problem in a Disk: A Molecular Dynamics Approach with Fixed Border Charges
Georgiy K. Lavrov, Eduard G. Nikonov
Martingale theory for heat and phase-space contraction in heterogeneous diffusions
Jing Qin, Nariya Uchida, Édgar Roldán
Formal Fluctuation-Response Relations for Non-Stationary Systems: The Dynamic Conjugate Variable
Igor M. Sokolov
Khinchin's ergodicity and typicality in statistical mechanics
Dario Lucente, Marco Baldovin, Giacomo Gradenigo et al.
Universal 1/f Noise in the Power Spectra of Energy Time-series in Solvated DNA Dynamics
Harsh Sahu, Deepika Sardana, Pramod Kumar et al.
Landau diamagnetism and the de Haas-van Alphen effect from a single geometric construction
Sung-Hoon Lee