68 citations · 68 across the 1 of their papers we have counts for
2 papers
physics.soc-ph2006★ 68 cited
The continuous time random walk formalism in financial markets
J. Masoliver, M. Montero, J. Perello +1
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus…
cond-mat.stat-mech2002
A continuous time random walk model for financial distributions
Jaume Masoliver, Miquel Montero, George H. Weiss
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known.…