Continuous-time random-walk model for financial distributions
Open Access
- 27 February 2003
- journal article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 67 (2) , 021112
- https://doi.org/10.1103/physreve.67.021112
Abstract
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.Keywords
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