| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979092 | Physica A: Statistical Mechanics and its Applications | 2007 | 17 Pages |
Abstract
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to account for correlated increments of the return.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jaume Masoliver, Miquel Montero, Josep Perelló, George H. Weiss,