Modeling share price evolution as a continuous time random walk (CTRW) with non-independent price changes and waiting times

A theory which describes the share price evolution at financial markets as a continuous time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function φX,T(x,t), which uses the concept of a Lévy stable distribution, is worked out. The evolution equation is formulated and it is shown that the process is non-Markovian. Finally, the theory is fitted to market data.

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Year of publication:	2004
Authors:	Repetowicz, Przemysław ; Richmond, Peter
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 108-111
Publisher:	Elsevier
Subject:	Stochastic processes \| CTRW \| Lévy distributions \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011058661