Abstract
We study financial distributions from the perspective of Continuous Time Random Walks with memory. We review some of our previous developments and apply them to financial problems. We also present some new models with memory that can be useful in characterizing tendency effects which are inherent in most markets. We also briefly study the effect on return distributions of fractional behaviors in the distribution of pausing times between successive transactions.
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Contribution to the Topical Issue “Continuous Time Random Walk Still Trendy: Fifty-year History, Current State and Outlook”, edited by Ryszard Kutner and Jaume Masoliver.
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Montero, M., Masoliver, J. Continuous Time Random Walks with memory and financial distributions. Eur. Phys. J. B 90, 207 (2017). https://doi.org/10.1140/epjb/e2017-80259-4
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DOI: https://doi.org/10.1140/epjb/e2017-80259-4