Search Results - subject:"Continuous-time random walks"

Lv, Longjin; Ren, Fu-Yao; Wang, Jun; Xiao, Jianbin - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 101-106

In this paper, we study the dynamics of a correlated continuous time random walk with time averaged waiting time. The mean square displacement (MSD) shows this process is subdiffusive and generalized Einstein relation holds. We also get the asymptotic behavior of the probability density function...

Persistent link: https://www.econbiz.de/10011194031

Stochastic integration for uncoupled continuous-time random walks

Scalas, Enrico; Germano, Guido; Politi, Mauro; … - Volkswirtschaftliche Fakultät, … - 2008

Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance … continuous-time random walks. The martingale properties of the integral are investigated. Finally, it is shown how the definition …

Persistent link: https://www.econbiz.de/10005626830

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - 2012

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

Persistent link: https://www.econbiz.de/10010308122

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - Institut für Weltwirtschaft (IfW) - 2012

Persistent link: https://www.econbiz.de/10009646512

Perpetual American options within CTRWs

Montero, Miquel - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3936-3941

Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the …

Persistent link: https://www.econbiz.de/10010872162

Power laws from randomly sampled continuous-time random walks

Mosetti, Giancarlo; Jug, Giancarlo; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 1, pp. 233-238

power-law behaviour also follows by random-sampling Lévy flights (as continuous-time random walks), having Fourier …

Persistent link: https://www.econbiz.de/10011057839

Equivalent continuous and discrete realizations of Lévy flights: A model of one-dimensional motion of an inertial particle

Lubashevsky, Ihor - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2323-2346

generalization of continuous time random walks. To simplify understanding the key points of the technique to be created, our …

Persistent link: https://www.econbiz.de/10011057630

Extremal behavior of a coupled continuous time random walk

Schumer, Rina; Baeumer, Boris; Meerschaert, Mark M. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 3, pp. 505-511

Coupled continuous time random walks (CTRWs) model normal and anomalous diffusion of random walkers by taking the sum … similar to continuous time random walks but track maxima instead of sums. The many ways in which observations can depend on …

Persistent link: https://www.econbiz.de/10010874142

Measuring statistical heterogeneity: The Pietra index

Eliazar, Iddo I.; Sokolov, Igor M. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 1, pp. 117-125

: renewal processes and continuous time random walks; infinite-server queueing systems and shot noise processes; financial …

Persistent link: https://www.econbiz.de/10011060833

Linear response in complex systems: CTRW and the fractional Fokker–Planck equations

Sokolov, I.M.; Blumen, A.; Klafter, J. - In: Physica A: Statistical Mechanics and its Applications 302 (2001) 1, pp. 268-278

We consider the linear response of systems modelled by continuous-time random walks (CTRW) and by fractional Fokker …

Persistent link: https://www.econbiz.de/10010590459