[CvGmt News] [Notiziario] [Settimanale] avviso QF Seminar, prof. Tomasz Gubiec (02.05.2018)

[Valeria Giuliani]

*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*

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