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Continuous Time Random Walks with memory and financial distributions

  • Miquel Montero
  • Jaume MasoliverEmail author
Regular Article
  • 91 Downloads
Part of the following topical collections:
  1. Topical issue: Continuous Time Random Walk Still Trendy: Fifty-year History, Current State and Outlook

Abstract

We study financial distributions from the perspective of Continuous Time Random Walks with memory. We review some of our previous developments and apply them to financial problems. We also present some new models with memory that can be useful in characterizing tendency effects which are inherent in most markets. We also briefly study the effect on return distributions of fractional behaviors in the distribution of pausing times between successive transactions.

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Copyright information

© EDP Sciences, SIF, Springer-Verlag GmbH Germany, part of Springer Nature 2017

Authors and Affiliations

  1. 1.Secció de Física Estadística i Interdisciplinària, Departament de Física de la Matèria Condensada, Universitat de Barcelona (UB)BarcelonaSpain
  2. 2.Universitat de Barcelona Institute of Complex Systems (UBICS), Universitat de BarcelonaBarcelonaSpain

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