The application of continuous-time random walks in finance and economics

Enrico Scalas

doi:10.1016/j.physa.2005.11.024

The application of continuous-time random walks in finance and economics

Enrico Scalas

Research output: Contribution to journal › Review article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	225-239
Number of pages	15
Journal	Physica A: Statistical Mechanics and its Applications
Volume	362
Issue number	2
DOIs	https://doi.org/10.1016/j.physa.2005.11.024
Publication status	Published - 1 Apr 2006
Externally published	Yes

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 10 Reduced Inequalities

Keywords

Continuous time random walks
Economics
Econophysics
Finance
Fractional calculus

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10.1016/j.physa.2005.11.024

Cite this

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abstract = "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.",

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KW - Econophysics

KW - Finance

KW - Fractional calculus

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DO - 10.1016/j.physa.2005.11.024

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ER -

The application of continuous-time random walks in finance and economics

Abstract

UN SDGs

Keywords

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