Continuous-time random walk with correlated jumps on stock market

Extension of the classical continuous-time random walk model created for description of share price evolution is presented. The model assumes that consecutive jumps are dependent; in this case it is exactly solvable, reconstructing, for example, the empirical velocity autocorrelation function (vacf). However, the problem of existing the fat tail in the nonlinear vacf is still an open one. (authors)