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

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dc.creatorMasoliver, Jaume
dc.creatorMontero, Miquel
dc.creatorPerello, Josep
dc.creatorWeiss, George H.
dc.date2003-08-01
dc.date2006-11-14
dc.date.accessioned2026-07-07T12:06:48Z
dc.date.available2026-07-07T12:06:48Z
dc.descriptionWe 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.
dc.description25 pages, 3 figures, Elsart, submitted for publication
dc.identifierhttps://arxiv.org/abs/cond-mat/0308017
dc.identifierhttp://arxiv.org/abs/cond-mat/0308017
dc.identifierPhysica A 379 (2007) 151-167
dc.identifierdoi:10.1016/j.physa.2007.01.001
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208761
dc.subjectStatistical Mechanics
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleThe CTRW in finance: Direct and inverse problems with some generalizations and extensions
dc.typetext

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