The Ctrw in Finance: Direct and Inverse Problems

17 Pages Posted: 10 Oct 2003

See all articles by Jaume Masoliver

Jaume Masoliver

University of Barcelona - Department of Physics

Miquel Montero

University of Barcelona - Departament de Física de la Matèria Condensada

Josep Perelló

University of Barcelona - Department of Physics

George H. Weiss

Government of the United States of America - Center for Information Technology

Abstract

We study financial distributions within the framework of the continuous time random walk (CTRW). An earlier approach is modified to account for the possibility of obtaining the distribution of daily or longer-time prices, in addition to the existing model for intraday prices. We thus treat both the direct problem (from high-frequency data to low-frequency statistics) and indirect problem (from low-frequency data to high-frequency statistics). Finally the formalism is applied to actual financial data.

Keywords: random walks, financial markets, volatility, trading activity

JEL Classification: C10, D40, G10

Suggested Citation

Masoliver, Jaume and Montero, Miquel and Perello, Josep and Weiss, George H., The Ctrw in Finance: Direct and Inverse Problems. Available at SSRN: https://ssrn.com/abstract=440500 or http://dx.doi.org/10.2139/ssrn.440500

Jaume Masoliver

University of Barcelona - Department of Physics ( email )

Barcelona, E-08028
Spain
00 34 3 402 11 59 (Phone)
00 34 3 402 11 49 (Fax)

Miquel Montero

University of Barcelona - Departament de Física de la Matèria Condensada ( email )

Martí i Franquès, 1
Barcelona, Catalonia 08028
Spain
+34 93 403 92 53 (Phone)
+34 93 402 11 55 (Fax)

Josep Perello (Contact Author)

University of Barcelona - Department of Physics ( email )

Diagonal, 647
Barcelona, E-08028
Spain
+34 9 34021150 (Phone)
+34 34021149 (Fax)

George H. Weiss

Government of the United States of America - Center for Information Technology ( email )

Bethesda, MD 20892
United States

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