《2016.PhysRevE.67.021112. Continuous-time random-walk model for financial distributions》.pdf

PHYSICAL REVIEW E 67, 021112 2003 Continuous-time random-walk model for financial distributions Jaume Masoliver and Miquel Montero ´ Departament de Fısica Fonamental, Universitat de Barcelona, Diagonal, 647, 08028-Barcelona, Spain George H. Weiss Center for Information Technology, National Institutes of Health, Bethesda, Maryland 20892 Received 22 October 2002; published 27 February 2003 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. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollar–deutsche mark future ex- change, finding good agreement between theory and the observed data. DOI: 10.1103/PhysRevE.67.021112 PACS numbers: 05.40.Jc, 89.65.Gh, 02.50.Ey, 05.45.Tp I. INTRODUCTION market prices 18. There is, however, a drawback to this approach: no finite moments exist beyond the first and this is The continuous-time random walk CTRW, introduced certainly a severe limitation of the model. Moreover, the