Modeling share price evolution as a continuous time random walk (CTRW) with non-independent price changes and waiting times

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 108-111

  Repetowicz, Przemysław ^a   Richmond, Peter ^a  

^a TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

CTRW; Econophysics; L vy distributions; Stochastic processes

Indexed keywords

ASYMPTOTIC STABILITY; CORRELATION METHODS; FINANCE; INTEGRODIFFERENTIAL EQUATIONS; PROBABILITY DENSITY FUNCTION; THEOREM PROVING;

CONTINUOUS TIME RANDOM WALK (CTRW); ECONOPHYSICS; EVOLUTION EQUATION; LÉVY DISTRIBUTIONS;

MARKOV PROCESSES;

EID: 5444226653     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.097     Document Type: Conference Paper

References (5)

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4. J. Masoliver, et al., Phys. Rev. E 67 (2003) 021112.
5. R. Kutner, Chem. Phys. 284 (2002) 481-505.