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

Scalas, Enrico (2006) The application of continuous-time random walks in finance and economics. Physica A: Statistical Mechanics and its Applications, 362 (2). pp. 225-239. ISSN 0378-4371

Full text not available from this repository.

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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 30 Sep 2014 14:04
Last Modified: 30 Sep 2014 14:04
URI: http://sro.sussex.ac.uk/id/eprint/50280
📧 Request an update