A continuous time random walk model for financial distributions

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dc.creatorMasoliver, Jaume
dc.creatorMontero, Miquel
dc.creatorWeiss, George H.
dc.date2002-10-23
dc.date.accessioned2026-07-07T12:10:59Z
dc.date.available2026-07-07T12:10:59Z
dc.descriptionWe 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 density for the magnitude of a jump. We have applied the formalism to data on the US dollar/Deutsche Mark future exchange, finding good agreement between theory and the observed data.
dc.description14 pages, 5 figures, revtex4, submitted for publication
dc.identifierhttps://arxiv.org/abs/cond-mat/0210513
dc.identifierhttp://arxiv.org/abs/cond-mat/0210513
dc.identifierPhysical Review E 67, 021112 (2003)
dc.identifierdoi:10.1103/PhysRevE.67.021112
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210092
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleA continuous time random walk model for financial distributions
dc.typetext

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