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q-fin.ST2019
Continuous Time Random Walk with correlated waiting times. The crucial role of inter-trade times in volatility clustering
Jarosław Klamut, Tomasz Gubiec
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by p…
cond-mat.stat-mech2019
Multi-phase long-term autocorrelated diffusion: Stationary continuous-time Weierstrass walk vs. flight
Tomasz Gubiec, Jarosław Klamut, Ryszard Kutner
In this paper we are examining diffusion properties of stationary continuous-time Weierstrass walk (CTWW). We are showing it is a multi-phase representation of the Lévy walk. The h…