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http://hdl.handle.net/2445/18803
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DC Field | Value | Language |
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dc.contributor.author | Masoliver, Jaume, 1951- | cat |
dc.contributor.author | Montero Torralbo, Miquel | cat |
dc.contributor.author | Weiss, George H. (George Herbert), 1930- | cat |
dc.date.accessioned | 2011-07-07T12:53:06Z | - |
dc.date.available | 2011-07-07T12:53:06Z | - |
dc.date.issued | 2003 | - |
dc.identifier.issn | 1063-651X | - |
dc.identifier.uri | http://hdl.handle.net/2445/18803 | - |
dc.description.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. | eng |
dc.format.extent | 10 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | The American Physical Society | eng |
dc.relation.isformatof | Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.67.021112 | cat |
dc.relation.ispartof | Physical Review E, 2003, vol. 67, núm. 2, p. 021112-01-021112-10 | - |
dc.relation.uri | http://dx.doi.org/10.1103/PhysRevE.67.021112 | - |
dc.rights | (c) American Physical Society, 2003 | - |
dc.source | Articles publicats en revistes (Física de la Matèria Condensada) | - |
dc.subject.classification | Anàlisi de sèries temporals | cat |
dc.subject.classification | Estadística financera | cat |
dc.subject.classification | Rutes aleatòries (Matemàtica) | cat |
dc.subject.other | Time-series analysis | eng |
dc.subject.other | Financial statistics | eng |
dc.subject.other | Random walks (Mathematics) | eng |
dc.title | Continuous-time random-walk model for financial distributions | eng |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 512390 | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
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512390.pdf | 109.44 kB | Adobe PDF | View/Open |
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