The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Continuous-time random-walk model for financial distributions
Open accessAbstract
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 exchange, finding good agreement between theory and the observed data.
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Formulas and Theorems for the Special Functions of Mathematical Physics
Magnus, W., Oberhettinger, F., & Soni, R. P. (1966) · doi:10.1007/978-3-662-11761-3 · Cited by 3,469
Cited by
The origin of bursts and heavy tails in human dynamics
Barabási, A.-L. (2005) · Nature · doi:10.1038/nature03459 · Cited by 2,210
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Metadata
- Authors
- Masoliver, J., Montero, M., & Weiss, G. H.
- Venue
- Physical Review E
- Publisher
- American Physical Society (APS)
- Published
- 2003-02-27
- Volume
- 67
- Issue
- 2
- Pages
- 021112-021112
- ISSN
- 1063-651X (ISSN-L)
- 1095-3787
- OpenAlex
- W2120640550
- Cited by
- 171
- References
- 1
- FWCI
- 25.45
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Masoliver, J., Montero, M., & Weiss, G. H. (2003). Continuous-time random-walk model for financial distributions. Physical Review E. https://doi.org/10.1103/physreve.67.021112
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