Coupled continuous time random walks in finance

  title={Coupled continuous time random walks in finance},
  author={Mark M. Meerschaerta and Enrico Scalasb},
  • Mark M. Meerschaerta, Enrico Scalasb
  • Published 2006
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between transactions. These two random variables (log-return and waiting time) are typically not independent. For these coupled CTRW models, we can now compute the limiting stochastic process (just like Brownian motion is the limit of a simple random walk), even in… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.


Publications citing this paper.
Showing 1-10 of 41 extracted citations


Publications referenced by this paper.
Showing 1-10 of 28 references

Limit Distributions for Sums of Independent Random Vectors: Heavy Tails in Theory and Practice

  • M. M. Meerschaert, H. P. Scheffler
  • Wiley Interscience, New York, 2001. ARTICLE IN…
  • 2006
1 Excerpt

Hamiltonian Chaos and Fractional Dynamics

  • G. Zaslavsky
  • Oxford University Press, Oxford
  • 2005
2 Excerpts

Speculative option valuation and the fractional diffusion equation

  • E. Scalas, R. Gorenflo, F. Mainardi, M. M. Meerschaert
  • in: J. Sabatier, J. Tenreiro Machado (Eds…
  • 2004

Similar Papers

Loading similar papers…