The continuous time random walk formalism in financial markets

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dc.creatorMasoliver, J.
dc.creatorMontero, M.
dc.creatorPerello, J.
dc.creatorWeiss, G. H.
dc.date2006-11-14
dc.date.accessioned2026-07-07T12:11:28Z
dc.date.available2026-07-07T12:11:28Z
dc.descriptionWe adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse problem, obtaining information on the market microstructure as reflected by high-frequency data knowing only the daily volatility. We apply the formalism to financial data to show that the CTRW offers alternative tools to deal with several complex issues of financial markets.
dc.description33 pages, 11 figures
dc.identifierhttps://arxiv.org/abs/physics/0611138
dc.identifierhttp://arxiv.org/abs/physics/0611138
dc.identifierJournal of Economic Behaviour and Organization 61 (2006) 577-598.
dc.identifierdoi:10.1016/j.jebo.2004.07.015
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210228
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleThe continuous time random walk formalism in financial markets
dc.typetext

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