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~institution:"C.E.P.R. Discussion Papers"
~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
~institution:"Society for Computational Economics - SCE"
~isPartOf:"Modeling, Computing, and Mastering Complexity 2003"
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continuous time random walk
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financial markets
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market microstructure
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volatility
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Masoliver, Jaume
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Montero, Miquel
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Perello, Josep
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C.E.P.R. Discussion Papers
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Society for Computational Economics - SCE
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Modeling, Computing, and Mastering Complexity 2003
CEPR Discussion Papers
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Econometric Institute Research Papers
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Computing in Economics and Finance 2002
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Computing in Economics and Finance 2004
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Computing in Economics and Finance 2003
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The continuous time random walk formalism in financial markets
Masoliver, Jaume
;
Montero, Miquel
;
Perello, Josep
-
Society for Computational Economics - SCE
reflected by high-frequency data knowing only the daily
volatility
. We apply the formalism to actual financial data and try to …
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