The CTRW in finance: Direct and inverse problems with some generalizations and extensions
arXiv:cond-mat/0308017 · doi:10.1016/j.physa.2007.01.001
Abstract
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to account for correlated increments of the return.
25 pages, 3 figures, Elsart, submitted for publication
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