Modeling of waiting times and price changes in currency exchange data
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DOI: 10.1016/j.physa.2004.06.162
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- Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.
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Keywords
Stochastic processes; Continuous-time random walk; Lévy stable distributions; Contingency table; Interpolation; Curve fitting; Statistical finance; Econophysics;All these keywords.
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