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2003

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/18803

Continuous-time random-walk model for financial distributions

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http://dx.doi.org/10.1103/PhysRevE.67.021112

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.

Subject

Anàlisi de sèries temporals, Estadística financera, Rutes aleatòries (Matemàtica)

Subject (English)

Time-series analysis, Financial statistics, Random walks (Mathematics)

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Articles publicats en revistes (Física de la Matèria Condensada)

Citation

MASOLIVER, Jaume, MONTERO TORRALBO, Miquel and WEISS, George H. (George Herbert). Continuous-time random-walk model for financial distributions. Physical Review E. 2003. Vol. 67, num. 2, pags. 021112-01-021112-10. ISSN 1063-651X. [consulted: 12 of June of 2026]. Available at: https://hdl.handle.net/2445/18803

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