Montero, M.; Masoliver, J. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 2, pp. 181-185
An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properties that high frequency data series show. The use of CTRW models in the analysis of financial problems is quite...