*Seminar Announcement*
*Date:* Wednesday, May 2 , 2018
*Time:* 14:00
*Location:* Aula Marie Curie, Palazzo D'Ancona, SNS
*Title:* *Continuous Time Random Walk in finance. The story of symbiosis.*
*Speaker: 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*