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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2021
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| 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 |