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

By Enrico Scalas. 2006

265 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0d503ac9762804db690bddeccf2721dce3bd3095

Citations in the corpus

• Continuous-time random walk and parametric subordination in fractional diffusion (2007, unknown): “To this purpose we lay open our general view of subordination in stochastic processes in Section 4.”