Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/18803
Title: Continuous-time random-walk model for financial distributions
Author: Masoliver, Jaume, 1951-
Montero Torralbo, Miquel
Weiss, George H. (George Herbert), 1930-
Keywords: Anàlisi de sèries temporals
Estadística financera
Rutes aleatòries (Matemàtica)
Time-series analysis
Financial statistics
Random walks (Mathematics)
Issue Date: 2003
Publisher: The American Physical Society
Abstract: We 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 U.S. dollardeutsche mark future exchange, finding good agreement between theory and the observed data.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.67.021112
It is part of: Physical Review E, 2003, vol. 67, núm. 2, p. 021112-01-021112-10
URI: http://hdl.handle.net/2445/18803
ISSN: 1063-651X
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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