%0 Journal Article %1 Scalas2006 %A Scalas, E. %D 2006 %J Physica A %K imported %P 225--239 %T The application of continuous-time random walks in finance and economics %V 362 %X 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.

@article{Scalas2006, 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.}, added-at = {2007-06-26T15:08:05.000+0200}, author = {Scalas, E.}, biburl = {https://www.bibsonomy.org/bibtex/24368f10f878b835b6c0046886328f12f/gilles.daniel}, comment = {High-frequency stylised facts: the sampling process can introduce spurious kurtosis}, interhash = {33c10313b646020e9e6a130d915dde77}, intrahash = {4368f10f878b835b6c0046886328f12f}, issue = {2}, journal = {Physica A}, keywords = {imported}, pages = {225--239}, timestamp = {2007-06-26T15:08:13.000+0200}, title = {The application of continuous-time random walks in finance and economics}, volume = 362, year = 2006 }