The CTRW in finance: Direct and inverse problems with some generalizations and extensions

Physica A: Statistical Mechanics and its Applications

Volumn 379, Issue 1, 2007, Pages 151-167

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

^a UNIVERSITY OF BARCELONA   (Spain)

^b NONE   (United States)

Author keywords

Market microstructure; Probability density; Volatility

Indexed keywords

ECONOMIC ANALYSIS; INVERSE PROBLEMS; MARKOV PROCESSES; TIME SERIES ANALYSIS;

CONTINUOUS TIME RANDOM WALK (CTRW); MARKET MICROSTRUCTURE; PROBABILITY DENSITY; VOLATILITY;

FINANCIAL DATA PROCESSING;

EID: 33947509348     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.01.001     Document Type: Article

References (41)

1. Montroll E.W., and Weiss G.H. J. Math. Phys. 6 (1965) 167
2. Montroll E.W., and Shlesinger M.F. In: Lebowitz J.L., and Montroll E.W. (Eds). Nonequilibrium Phenomena II: From Stochastics to Hydrodynamics (1984), North-Holland, Amsterdam
3. Weiss G.H. Aspects and Applications of the Random Walk (1994), North-Holland, Amsterdam
4. Berkowitz B., and Scher H. Phys. Rev. Lett. 79 (1997) 4038
5. Boguna M., and Corral A. Phys. Rev. Lett. 78 (1997) 4950
6. Gudowska-Nowak E., and Weron K. Phys. Rev. E 65 (2002) 011103
7. Helmstetter A., and Sornette D. Phys. Rev. E 66 (2002) 061104
8. Mega M.S., Allegrini P., Grigolini P., Latora V., and Palatella L. Phys. Rev. Lett. 90 (2003) 1188501-1
9. Berkowitz B., Kosakowski G., Margolin G., and Sher H. Ground Water 39 (2001) 593-604
10. Dentz M., and Berkowitz B. Water Resour. Res. 39 (2003) 1111
11. Grigolini P., Palatella L., and Raffaelli G. Fractals 9 (2001) 439-449
12. Kutner R. Comput. Phys. Commun. 147 (2002) 565-569
13. Kutner R. Chem. Phys. 284 (2002) 481-505
14. Scalas E., Gorenflo R., and Mainardi F. Physica A 284 (2000) 376-384
15. Mainardi F., Roberto M., Gorenflo R., and Scalas E. Physica A 287 (2000) 468-481
16. Raberto M., Scalas E., and Mainardi F. Physica A 314 (2002) 749-755
17. Scalas E., Gorenflo R., and Mainardi F. Phys. Rev. E 69 (2004) 011197
18. Scalas E. Physica A 362 (2006) 225-239
19. Kutner R., and Switała F. Quant. Finance 3 (2003) 201-211
20. Masoliver J., Montero M., and Weiss G.H. Phys. Rev. E 67 (2003) 021112-1
21. Masoliver J., Montero M., Perelló J., and Weiss G.H. J. Econ. Behav. Organ. 61 (2006) 577
22. Scher H., and Lax M. Phys. Rev. B 7 (1973) 4491
23. Shlesinger M.F., Klafter J., and Wong Y.M. J. Stat. Phys. 27 (1982) 499
24. Nelsen R.B. An Introduction to Copulas (1999), Springer, New York
25. Lukacs E. Characteristic Functions (1970), Griffin, London
26. Cox D.R. Renewal Theory (1970), Methuen, London
27. Embrechts P., Hing A., and Juri A. Finance Stochastics 3 (2003) 145
28. Longin F., and Solnik B. J. Finance 56 (2001) 649
29. Sokolov I.M., Chechkin A.V., and Klafter J. Physica A 336 (2004) 245
30. Mandelbrot B. J. Bus. 35 (1963) 394
31. Fama E. J. Bus. 35 (1963) 420-429
32. Mantegna R.N., and Stanley H.E. Nature (London) 376 (1995) 46
33. Erdelyi A. Tables of Integral Transforms (1954), McGraw-Hill, New York
34. Magnus W., Oberhettinger F., and Soni R.P. Formulas and Theorems for the Special Functions of Mathematical Physics (1966), Springer, New York
35. Handelsman R.A., and Lew J.S. SIAM J. Math. Anal. 5 (1974) 425-451
36. Stehfest H. Commun. Assoc. Comput. Machin. 13 (1970) 47-49
37. Wood R.A., McInish T.H., and Ord J.K. J. Finance 40 (1895) 723-739
38. Stoll H.R., and Whaley R.E. Rev. Financial Stud. 3 (1990) 37-71
39. Bertram W.K. Physica A 341 (2004) 533-546
40. Campbell J.Y., Lo A.W., and Craig MacKinlay A. The Econometrics of Financial Markets (1997), Princeton University Press, Princeton
41. Montero M., Perelló J., Masoliver J., Lillo F., Miccichè S., and Mantegna R. Phys. Rev. E 72 (2005) 056101