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

@article{Gubiec2010BackwardJC,
  title={Backward jump continuous-time random walk: an application to market trading.},
  author={Tomasz Gubiec and Ryszard Kutner},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2010},
  volume={82 4 Pt 2},
  pages={
          046119
        }
}
The backward jump modification of the continuous-time random walk model or the version of the model driven by the negative feedback was herein derived for spatiotemporal continuum in the context of a share price evolution on a stock exchange. In the frame of the model, we described stochastic evolution of a typical share price on a stock exchange with a moderate liquidity within a high-frequency time scale. The model was validated by satisfactory agreement of the theoretical velocity… CONTINUE READING

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