Continuous-time random-walk model for financial distributions

被引：125

作者：

Masoliver, J

Montero, M

Weiss, GH

机构：

[1] Univ Barcelona, Dept Fis Fonamental, E-08028 Barcelona, Spain

[2] NIH, Ctr Informat Technol, Bethesda, MD 20892 USA

来源：

PHYSICAL REVIEW E | 2003年 / 67卷 / 02期

关键词：

D O I：

10.1103/PhysRevE.67.021112

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollar-deutsche mark future exchange, finding good agreement between theory and the observed data.

引用

页数：10

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