Repetowicz, Przemysław; Richmond, Peter - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 108-111
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...