The continuous time random walk formalism in financial markets
The continuous time random walk formalism in financial markets
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DOI：
10.1016/j.jebo.2004.07.015
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发表时间：
2006-12-01
影响因子：
2.2
通讯作者：
Weiss, George H.
中科院分区：
文献类型：
--
作者：
Masoliver, Jaume;Montero, Miquel;Weiss, George H.
我们采用连续时间随机漫步（CTRW）形式来描述资产价格演变，并讨论了可以使用这种方法处理的一些问题。我们主要关注两个方面：(i)从高频数据中推导价格分布，以及（ii）反问题，即仅知道每日波动率的高频数据所反映的市场微观结构信息。我们将形式主义应用于金融数据，以表明CTRW为处理金融市场的几个复杂问题提供了替代工具。(c) 2006 Elsevier B.V.版权所有
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse problem, obtaining information on the market microstructure as reflected by high-frequency data knowing only the daily volatility. We apply the formalism to financial data to show that the CTRW offers alternative tools to deal with several complex issues of financial markets. (c) 2006 Elsevier B.V. All rights reserved.