Hwang, Jungseek; Park, Sungkyun; Kang, Sang Hoon; Ryu, … - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 756-762
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...