出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model using the tick-by-tick data of the Euro–Dollar foreign exchange rate. From some empirical results, we conclude that the CTRW model can be meaningfully applied to the description of an abnormal time evolution of high-frequency financial data. It also provides a framework of predictions of market dynamics.
关键词：continuous time random walk model; euro–dollar foreign exchange rate; high-frequency data; power law; complex system.
