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Statistical finance
continuous time
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Scalas, Enrico
5
Mainardi, Francesco
4
Raberto, Marco
4
Gorenflo, Rudolf
2
Repetowicz, Przemysław
1
Richmond, Peter
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Physica A: Statistical Mechanics and its Applications
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1
Five Years of
Continuous-time
Random Walks in Econophysics
Scalas, Enrico
-
EconWPA
-
2005
This paper is a short review on the application of continuos-time random walks to Econophysics in the last five years.
Persistent link: https://www.econbiz.de/10005134725
Saved in:
2
Modeling of waiting times and price changes in currency exchange data
Repetowicz, Przemysław
;
Richmond, Peter
- In:
Physica A: Statistical Mechanics and its Applications
343
(
2004
)
C
,
pp. 677-693
A theory which describes the share price evolution at financial markets as a
continuous-time
random walk (Physica A 287 …
Persistent link: https://www.econbiz.de/10011057745
Saved in:
3
Waiting-times and returns in high-frequency financial data: an empirical study
Raberto, Marco
;
Scalas, Enrico
;
Mainardi, Francesco
-
EconWPA
-
2004
based on a
continuous-time
random walk model. …
Persistent link: https://www.econbiz.de/10005561736
Saved in:
4
Fractional calculus and
continuous-time
finance II: the waiting- time distribution
Mainardi, Francesco
;
Raberto, Marco
;
Gorenflo, Rudolf
; …
-
EconWPA
-
2004
We complement the theory of tick-by-tick dynamics of financial markets based on a
continuous-time
random walk (CTRW …
Persistent link: https://www.econbiz.de/10005134750
Saved in:
5
Waiting-times and returns in high-frequency financial data: an empirical study
Raberto, Marco
;
Scalas, Enrico
;
Mainardi, Francesco
- In:
Physica A: Statistical Mechanics and its Applications
314
(
2002
)
1
,
pp. 749-755
based on a
continuous-time
random walk model. …
Persistent link: https://www.econbiz.de/10010872329
Saved in:
6
Fractional calculus and
continuous-time
finance II: the waiting-time distribution
Mainardi, Francesco
;
Raberto, Marco
;
Gorenflo, Rudolf
; …
- In:
Physica A: Statistical Mechanics and its Applications
287
(
2000
)
3
,
pp. 468-481
We complement the theory of tick-by-tick dynamics of financial markets based on a
continuous-time
random walk (CTRW …
Persistent link: https://www.econbiz.de/10010590960
Saved in:
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