*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* -- Hai ricevuto questo messaggio perché sei iscritto al gruppo "Matematici.Esterni.SNS" di Google Gruppi. Per annullare l'iscrizione a questo gruppo e non ricevere più le sue email, invia un'email a matematici.esterni.sns+unsubscribe@sns.it. Per postare messaggi in questo gruppo, invia un'email a matematici.esterni.sns@sns.it. Per visualizzare questa discussione sul Web, visita https://groups.google.com/a/sns.it/d/msgid/matematici.esterni.sns/CAGKKDBkh0.... _______________________________________________ Settimanale mailing list Settimanale@fields.dm.unipi.it https://fields.dm.unipi.it/listinfo/settimanale