Continuous Time Random Walk with Correlated Waiting Times. The Crucial Role of Inter-Trade Times in Volatility Clustering

In many physical, social, and economic phenomena, we observe changes in a studied quantity only in discrete, irregularly distributed points in time. The stochastic process usually applied to describe this kind of variable is the continuous-time random walk (CTRW). Despite the popularity of these typ...

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Detalles Bibliográficos
Autores principales: Klamut, Jarosław, Gubiec, Tomasz
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8699828/
https://www.ncbi.nlm.nih.gov/pubmed/34945887
http://dx.doi.org/10.3390/e23121576

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8699828/
https://www.ncbi.nlm.nih.gov/pubmed/34945887
http://dx.doi.org/10.3390/e23121576

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