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: This email address is being protected from spambots. You need JavaScript enabled to view it.
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.
Contribution to the Topical Issue “Continuous Time Random Walk Still Trendy: Fifty-year History, Current State and Outlook”, edited by Ryszard Kutner and Jaume Masoliver.
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag 2017
