title: Continuous-time random-walk model for financial distributions.
abstract: We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollar-deutsche mark future exchange, finding good agreement between theory and the observed data.
authors.affiliation: Departament de Física Fonamental, Universitat de Barcelona, Diagonal, 647, 08028-Barcelona, Spain.
authors.forename: Jaume
authors.initials: J
authors.lastname: Masoliver
authors.forename: Miquel
authors.initials: M
authors.lastname: Montero
authors.forename: George H
authors.initials: GH
authors.lastname: Weiss