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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...
Persistent link: https://www.econbiz.de/10011057070
Persistent link: https://www.econbiz.de/10007773423
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability...
Persistent link: https://www.econbiz.de/10005098567
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...
Persistent link: https://www.econbiz.de/10005099203
Persistent link: https://www.econbiz.de/10005127396
An analysis based on the assumption that tick-by-tick data is linear may lead to incorrect conclusions if the underlying process is multiplicative. We compare data analysis done with return and stock differences and study the limits within which the two approaches are equivalent. Illustrative...
Persistent link: https://www.econbiz.de/10011063544
The present work briefly summarizes the results obtained in Palatella et al. Eur. Phys. J. B 38 (2004) 671 using the Diffusion Entropy technique and adds some new results regarding the Dow Jones Index time series. We show that time distances between peaks of volatility or activity are...
Persistent link: https://www.econbiz.de/10011063975
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which...
Persistent link: https://www.econbiz.de/10012732093
Recent single-molecule fluorescence spectroscopy have been analyzed in terms of a reaction with a single fluctuating rate (Shenter, J. Phys. Chem A 103 (1999) 10477). The fluctuations in that analysis are related to the solution of an O–U equation. We propose the use of a simpler type of...
Persistent link: https://www.econbiz.de/10010871893
We develop the formalism for a continuous-time generalization of the persistent random walk, by allowing the sojourn time to deviate from the exponential form found in standard discussions of this subject. This generalization leads to evolution equations, in the time domain, that differ and are...
Persistent link: https://www.econbiz.de/10010872698