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

被引：198

作者：

Scalas, E ^{[1
]}

机构：

[1] Univ Piemonte Orientale, Dipartimento Sci & Tecnol Avanzate, I-15100 Alessandria, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2006年 / 362卷 / 02期

关键词：

continuous time random walks; fractional calculus; finance; economics; econophysics;

D O I：

10.1016/j.physa.2005.11.024

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：225 / 239

页数：15

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