scholarly journals Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario

2016 ◽  
Vol 50 (3) ◽  
pp. 034002 ◽  
Author(s):  
Rafał Połoczański ◽  
Agnieszka Wyłomańska ◽  
Monika Maciejewska ◽  
Andrzej Szczurek ◽  
Janusz Gajda
2012 ◽  
Vol 26 (23) ◽  
pp. 1250151 ◽  
Author(s):  
KWOK SAU FA

In this paper, we model the tick-by-tick dynamics of markets by using the continuous-time random walk (CTRW) model. We employ a sum of products of power law and stretched exponential functions for the waiting time probability distribution function; this function can fit well the waiting time distribution for BUND futures traded at LIFFE in 1997.


2017 ◽  
Vol 54 (2) ◽  
pp. 363-378 ◽  
Author(s):  
Markos V. Koutras ◽  
Demetrios P. Lyberopoulos

Abstract In the present work, some new maximal inequalities for nonnegative N-demi(super)martingales are first developed. As an application, new bounds for the cumulative distribution function of the waiting time for the first occurrence of a scan statistic in a sequence of independent and identically distributed (i.i.d.) binary trials are obtained. A numerical study is also carried out for investigating the behavior of the new bounds.


2014 ◽  
Vol 2014 ◽  
pp. 1-4 ◽  
Author(s):  
Long Shi ◽  
Zuguo Yu ◽  
Zhi Mao ◽  
Aiguo Xiao

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density functionP(x,t)of finding the walker at positionxat timetis completely determined by the Laplace transform of the probability density functionφ(t)of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.


Soft Matter ◽  
2021 ◽  
Author(s):  
Jian Liu ◽  
Caiyun Zhang ◽  
Jing-Dong Bao ◽  
Xiaosong Chen

Within the framework of space-time correlated continuous-time random walk model, anomalous diffusion of particle moving in the velocity field is studied in this paper. The weak asymptotic form ω(t) ∼ t−(1+α); 1 < α < 2 for large t, is considered to be the waiting time distribution. Analytical results reveal that the diffusion in the velocity field, i.e., the mean squared displacement, can display a multi-fractional form caused by dispersive bias and space-time correlation. Numerical results indicate that the multi-fractional diffusion leads to a crossover phenomenon in-between the process at intermediate timescale, followed by a steady state which is always determined by the largest diffusion exponent term. In addition, the role of velocity and weak asymptotics is discussed. The extremely small fluid velocity can make the diffusion to be characterized by diffusion coefficient instead of diffusion exponent, which is distinctly different from the former definition. Especially, for the waiting time displaying weak asymptotic property, if the anomalous part is suppressed by the normal part, a second crossover phenomenon appears at intermediate timescale, followed by a steady normal diffusion, which implies that the anomalies underlying the process are smoothed out at large timescale. Moreover, we discuss that the consideration of bias and correlation could help to avoid a possible not readily noticeable mistake in studying the topic concerned in this paper, which may be helpful for the relevant experimental research.


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