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Waiting-times and returns in high-frequency financial data: an empirical study

Raberto, Marco; Scalas, Enrico; Mainardi, Francesco - EconWPA - 2004

based on a continuous-time random walk model. …

Persistent link: https://www.econbiz.de/10005561736

Fractional calculus and continuous-time finance II: the waiting- time distribution

Mainardi, Francesco; Raberto, Marco; Gorenflo, Rudolf; … - EconWPA - 2004

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW …

Persistent link: https://www.econbiz.de/10005134750

Black–Scholes model under subordination

Stanislavsky, A.A. - In: Physica A: Statistical Mechanics and its Applications 318 (2003) 3, pp. 469-474

In this paper, we consider a new mathematical extension of the Black–Scholes (BS) model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the directing process is inverse to the totally skewed,...

Persistent link: https://www.econbiz.de/10011057377

Waiting-times and returns in high-frequency financial data: an empirical study

Raberto, Marco; Scalas, Enrico; Mainardi, Francesco - In: Physica A: Statistical Mechanics and its Applications 314 (2002) 1, pp. 749-755

based on a continuous-time random walk model. …

Persistent link: https://www.econbiz.de/10010872329

Fractional calculus and continuous-time finance II: the waiting-time distribution

Mainardi, Francesco; Raberto, Marco; Gorenflo, Rudolf; … - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 468-481

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW …

Persistent link: https://www.econbiz.de/10010590960

Hierarchical spatio-temporal coupling in fractional wanderings. (II). Diffusion phase diagram for Weierstrass walks

Kutner, Ryszard; Regulski, Marcin - In: Physica A: Statistical Mechanics and its Applications 264 (1999) 1, pp. 107-133

) continuous-time random walk (CTRW) formalism [1–12]. The WW model is a lacunary foundation of Lévy walks [6–12] generalized to a …

Persistent link: https://www.econbiz.de/10010599593

The continuous time random walk formalism in financial markets

Masoliver, Jaume; Montero, Miquel; Perello, Josep - Society for Computational Economics - SCE

We adapt the continuous time random walk (CTRW) formalism to describe the asset price evolution. We show some of the …

Persistent link: https://www.econbiz.de/10005706837