Title of article
The CTRW in finance: Direct and inverse problems with some generalizations and extensions
Author/Authors
Jaume Masoliver، نويسنده , , Miquel Montero، نويسنده , , Josep Perell?، نويسنده , , George H. Weiss، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
17
From page
151
To page
167
Abstract
We 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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2007
Journal title
Physica A Statistical Mechanics and its Applications
Record number
871621
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