Jurlewicz, Agnieszka; Wyłomańska, Agnieszka; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 407-418
In this paper we expand the Rachev–Rüschendorf asset-pricing model introducing a coupled continuous-time-random-walk-(CTRW)-like form of the random number of price changes. Such a form results from the concept of the random clustering procedure (that resembles the coarse-graining methods of...