Eur. Phys. J. B (2017) 90: 207
https://doi.org/10.1140/epjb/e2017-80259-4

Regular Article

Continuous Time Random Walks with memory and financial distributions^★

¹ Secció de Física Estadística i Interdisciplinària, Departament de Física de la Matèria Condensada, Universitat de Barcelona (UB), Martí i Franquès 1, 08028 Barcelona, Spain
² Universitat de Barcelona Institute of Complex Systems (UBICS), Universitat de Barcelona, Barcelona, Spain

^a e-mail: jaume.masoliver@ub.edu

Received: 5 May 2017
Received in final form: 20 June 2017
Published online: 1 November 2017

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.