The CTRW in finance: Direct and inverse problems with some generalizations and extensions

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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.
25 pages, 3 figures, Elsart, submitted for publication

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Statistical Mechanics, Physics and Society, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208761

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0308017
 http://arxiv.org/abs/cond-mat/0308017
 Physica A 379 (2007) 151-167
 doi:10.1016/j.physa.2007.01.001

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arXiv