Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 362, Issue 2, Pages 225-239Publisher
ELSEVIER
DOI: 10.1016/j.physa.2005.11.024
Keywords
continuous time random walks; fractional calculus; finance; economics; econophysics
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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. (c) 2005 Elsevier B.V. All rights reserved.
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