Continuous Time Random Walk with Correlated Waiting Times. The Crucial Role of Inter-Trade Times in Volatility Clustering.
Jaroslaw KlamutTomasz GubiecPublished in: Entropy (2021)
Keyphrases
- random walk
- waiting times
- markov chain
- spectral methods
- proximity measures
- clustering method
- clustering algorithm
- markov random walk
- directed graph
- transition probabilities
- k means
- stationary distribution
- link prediction
- steady state
- queueing model
- single server
- markov processes
- state space
- data points
- search algorithm
- machine learning