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Cited by 269

The DOI matches its Crossref record; 58 of the 58 references it cites were found in a registry or an index.

The application of continuous-time random walks in finance and economics

Open access
Scalas, Enrico·2006·Physica A: Statistical Mechanics and its Applications
DOI 10.1016/j.physa.2005.11.024
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Abstract

This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with the connection between CTRWs and anomalous diffusion. In particular, a simplified version of the well-scaled transition of CTRWs to the diffusive or hydrodynamic limit is presented. In the second part, applications of CTRWs to the ruin theory of insurance companies, to growth and inequality processes and to the dynamics of prices in financial markets are outlined and briefly discussed.

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Crossref · 10.1016/j.physa.2005.11.024

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Metadata

Authors
Scalas, E.
Venue
Physica A: Statistical Mechanics and its Applications
Publisher
Elsevier BV
Published
2006-04
Volume
362
Issue
2
Pages
225-239
ISSN
0378-4371 (ISSN-L)
DOI
10.1016/j.physa.2005.11.024
OpenAlex
W2044449143
Cited by
269
References
58
FWCI
36.35
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: The application of continuous-time random walks in finance and economics. https://app.cochat.ai/papers/10.1016/j.physa.2005.11.024
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Scalas, E. (2006). The application of continuous-time random walks in finance and economics. Physica A: Statistical Mechanics and its Applications. https://doi.org/10.1016/j.physa.2005.11.024

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.