Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between transactions. These two random variables (log-return...

This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with the connection between CTRWs and anomalous diffusion. In particular, a simplified version of the well-scaled transition of CTRWs to the...