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The CTRW in finance: Direct and inverse problems with some generalizations and extensions
- Source :
-
Physica A . Jun2007, Vol. 379 Issue 1, p151-167. 17p. - Publication Year :
- 2007
-
Abstract
- Abstract: 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 account for correlated increments of the return. [Copyright &y& Elsevier]
- Subjects :
- *RANDOM walks
*INCREMENTAL motion control
*DIFFERENTIAL equations
*MARKOV spectrum
Subjects
Details
- Language :
- English
- ISSN :
- 03784371
- Volume :
- 379
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Physica A
- Publication Type :
- Academic Journal
- Accession number :
- 24460503
- Full Text :
- https://doi.org/10.1016/j.physa.2007.01.001