The continuous time random walk formalism in financial markets

Details The continuous time random walk formalism in financial markets The continuous time random walk formalism in financial markets

2006-11-14

arxiv.org/abs/physics/0611138v1

Journal of Economic Behaviour and Organization 61 (2006) 577-598.

Physics

Physics and Society

33 pages, 11 figures

Scientific paper

10.1016/j.jebo.2004.07.015

We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse problem, obtaining information on the market microstructure as reflected by high-frequency data knowing only the daily volatility. We apply the formalism to financial data to show that the CTRW offers alternative tools to deal with several complex issues of financial markets.

Affiliated with

Also associated with

No associations

Rating

The continuous time random walk formalism in financial markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The continuous time random walk formalism in financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The continuous time random walk formalism in financial markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-488319