Wednesday, 02/05/2018
14:00
Scuola Normale Superiore
Aula Marie Curie

Tomasz Gubiec
University of Warsaw

Abstract

Over 50 years ago, two physicists Montroll and Weiss in the physical context of dispersive transport and diffusion introduced stochastic process, named Continuous-Time Random Walk (CTRW). The trajectory of such a process is created by elementary events ‘spatial’ jumps of the stochastic process preceded by waiting (or interevent or pausing) time. Since introduction, CTRW found innumerable application in different fields [1]. In this seminar, I will focus on the application of CTRW to finance [2] and I will tell the story of how this application turned out to be fruitful for both sided and motivated new directions of research [3,4].

[1] Kutner, R., & Masoliver, J. (2017). The continuous time random walk, still trendy: fifty-year history, state of art and outlook. The European Physical Journal B, 90(3), 50
[2] Scalas, E. (2006). Five years of continuous-time random walks in econophysics. In The complex networks of economic interactions (pp. 3-16). Springer, Berlin, Heidelberg.
[3] Gubiec, T., & Kutner, R. (2010). Backward jump continuous-time random walk: An application to market trading. Physical Review E, 82(4), 046119
[4] Gubiec, T., & Kutner, R. (2017). Continuous-Time Random Walk with multi-step memory: an application to market dynamics. The European Physical Journal B, 90(11), 228