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

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.

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Year of publication:	2007
Authors:	Masoliver, Jaume ; Montero, Miquel ; Perelló, Josep ; Weiss, George H.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 379.2007, 1, p. 151-167
Publisher:	Elsevier
Subject:	Probability density \| Volatility \| Market microstructure

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

Persistent link: https://www.econbiz.de/10011057070