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Title of article :
The application of continuous-time random walks in finance and economics
Author/Authors :
Enrico Scalas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
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Abstract :
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Link To Document :