Work

Continuous-time random-walk model for financial distributions

Year: 2003

Type: article

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. dollar-deutsche mark future exchange, finding good agreement between theory and the observed data.

Source: Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics

DOI: 10.1103/physreve.67.021112

Authors: Jaume Masoliver, Miquel Montero, George H. Weiss

Institutions: Universitat de Barcelona, National Institutes of Health, Center for Information Technology

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: Generalitat de Catalunya

OpenAlex ID: W2120640550

FWCI: 22.38

Cites: 27

Cited by: 164

Related to: 10