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Continuous-Time Random Walk with multi-step memory: an application to market dynamics

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dc.abstract.enAn extended version of the Continuous-Time Random Walk (CTRW) model with memory is herein developed. This memory involves the dependence between arbitrary number of successive jumps of the process while waiting times between jumps are considered as i.i.d. random variables. This dependence was established analyzing empirical histograms for the stochastic process of a single share price on a market within the high frequency time scale. Then, it was justified theoretically by considering bid-ask bounce mechanism containing some delay characteristic for any double-auction market. Our model appeared exactly analytically solvable. Therefore, it enables a direct comparison of its predictions with their empirical counterparts, for instance, with empirical velocity autocorrelation function. Thus, the present research significantly extends capabilities of the CTRW formalism.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorGubiec, Tomasz
dc.contributor.authorKutner, Ryszard
dc.date.accessioned2024-01-24T20:46:58Z
dc.date.available2024-01-24T20:46:58Z
dc.date.issued2017
dc.description.financeNie dotyczy
dc.identifier.doi10.1140/EPJB/E2017-80216-3
dc.identifier.issn1434-6028
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/103685
dc.languageeng
dc.pbn.affiliationphysical sciences
dc.relation.ispartofEuropean Physical Journal B
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.encontinuous time random walk waiting-time distribution multi-step memory propagators autocorrelation function bid-ask bounce mechanism double-auction market
dc.titleContinuous-Time Random Walk with multi-step memory: an application to market dynamics
dc.typeJournalArticle
dspace.entity.typePublication