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The application of continuous-time random walks in finance and economics
journal contribution
posted on 2023-06-08, 18:26 authored by Enrico ScalasThis 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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Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
2Volume
362Page range
225-239Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-30Usage metrics
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