Waiting-times and returns in high-frequency financial data: an empirical study
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In this paper, the statistical properties of General Electric stock prices, traded at NYSE, in October 1999, are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.Abstract:
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.read more
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The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
Ralf Metzler,Joseph Klafter +1 more
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References
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Higher Transcendental Functions
TL;DR: Higher Transcendental Functions Based on notes left by the late Prof. Harry Bateman, and compiled by the Staff of the Bateman Project as discussed by the authors, are presented in Table 1.
Journal ArticleDOI
A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
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Introduction to Econophysics: Correlations and Complexity in Finance
TL;DR: Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Book
Digital spectral analysis : with applications
TL;DR: This new book provides a broad perspective of spectral estimation techniques and their implementation concerned with spectral estimation of discretespace sequences derived by sampling continuousspace signals.