Coupled continuous time random walks in finance

@inproceedings{Meerschaerta2006CoupledCT,
  title={Coupled continuous time random walks in finance},
  author={Mark M. Meerschaerta and Enrico Scalasb},
  year={2006}
}
  • 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

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