The continuous time random walk formalism in financial markets

Journal of Economic Behavior and Organization

Volumn 61, Issue 4, 2006, Pages 577-598

  Masoliver, Jaume ^a   Montero, Miquel ^a   Perelló, Josep ^a   Weiss, George H ^b  

^a UNIVERSITY OF BARCELONA   (Spain)

^b NONE   (United States)

Author keywords

Continuous time random walk; Financial markets; Market microstructure; Volatility

Indexed keywords

EID: 33845196352     PISSN: 01672681     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jebo.2004.07.015     Document Type: Article

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