Search results for "Continuous-time random walk"
showing 3 items of 3 documents
Scaling and data collapse for the mean exit time of asset prices
2005
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …
Geometry and time scale of the rotational dynamics in supercooled toluene
1998
Multidimensional deuteron NMR provides powerful tools for studying molecular reorientation in supercooled liquids. We present results on selectively deuterated toluene-${d}_{5},$ which may be one of the molecularly most simple van der Waals glass formers. From two-time correlation functions the time scale of reorientation was obtained slightly above the calorimetric glass transition temperature. The applied stimulated echo method provides a geometry parameter that, in analogy to $q$-dependent scattering experiments, allows one to investigate the geometry of the elementary rotational process. Continuous time random walk computer simulations were used for the interpretation of the data. It is…
On fractional diffusion and continuous time random walks
2003
Abstract A continuous time random walk model is presented with long-tailed waiting time density that approaches a Gaussian distribution in the continuum limit. This example shows that continuous time random walks with long time tails and diffusion equations with a fractional time derivative are in general not asymptotically equivalent.