Backward jump continuous-time random walk: An application to market trading

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 82, Issue 4, 2010, Pages

  Gubiec, Tomasz ^a   Kutner, Ryszard ^a  

^a UNIVERSITY OF WARSAW   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

CONTINUOUS-TIME RANDOM WALK; CONTINUOUS-TIME RANDOM WALK MODELS; EMPIRICAL DATA; FINANCIAL MARKET; HIGH FREQUENCY HF; MODEL-DRIVEN; NEGATIVE FEEDBACK; POTENTIAL APPLICATIONS; SHARE PRICE; STOCHASTIC EVOLUTION; STOCK EXCHANGE; STOCK MARKET; TIME-SCALES; VELOCITY AUTOCORRELATION FUNCTIONS;

COMMERCE; CONTINUOUS TIME SYSTEMS; FEEDBACK; FINANCE; RANDOM PROCESSES; REGRESSION ANALYSIS;

STOCHASTIC MODELS;

EID: 78651300356     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.82.046119     Document Type: Article

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