相关论文: A continuous time random walk model for financial …

A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…

Continuous time random walk models with decoupled waiting time density are studied. When the spatial one jump probability density belongs to the Levy distribution type and the total time transition is exponential a generalized…

Random walks are used for modeling various dynamics in, for example, physical, biological, and social contexts. Furthermore, their characteristics provide us with useful information on the phase transition and critical phenomena of even…

In the study of dynamical processes on networks, there has been intense focus on network structure -- i.e., the arrangement of edges and their associated weights -- but the effects of the temporal patterns of edges remains poorly…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model,…

A physical-mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. The fundamental solution (for the…

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…

In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…

Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…

Superslow diffusion, i.e., the long-time diffusion of particles whose mean-square displacement (variance) grows slower than any power of time, is studied in the framework of the decoupled continuous-time random walk model. We show that this…

Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…

We present a continuous time generalization of a random walk with complete memory of its history [Phys. Rev. E 70, 045101(R) (2004)] and derive exact expressions for the first four moments of the distribution of displacement when the number…

A physical-mathematical approach to anomalous diffusion may be based on fractional diffusion equations and related random walk models. The fundamental solutions of these equations can be interpreted as probability densities evolving in time…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…

We briefly review statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents…

The continuous time random walk model has been widely applied in various fields, including physics, biology, chemistry, finance, social phenomena, etc. In this work, we present an algorithm that utilizes a subordinate formula to generate…

We have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time…