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~person:"Scalas, Enrico"
~subject:"Duration"
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Search: subject:"Continuous Time"
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Fractional calculus
6
Continuous-time random walk
5
Statistical finance
5
Econophysics
3
Continuous time random walks
2
Continuous-time random walks
2
Option pricing
2
Stochastic processes
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computer trading
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continuous time random walks
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high-frequency finance
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high-frequency trading
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jump-diffusion models
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pure-jump models
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semi-Markov processes
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Anomalous diffusion
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Autocorrelation function
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Continuous time random walk
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Economics
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Fractional Poisson process
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Functional Limit Theorem
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Heavy tails
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Inverse stable subordinator
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J1-topology
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Markovscher Prozess
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Mittag-Leffler waiting time
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Optionspreistheorie
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Population dynamics
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Skorokhod space
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Stable subordinator
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Theorie
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Wertpapierhandel
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Wirtschaftsmodell
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models of tick-by-tick financial data
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stochastic integration
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Scalas, Enrico
Mainardi, Francesco
2
Raberto, Marco
2
Gorenflo, Rudolf
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EconWPA
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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
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:
3
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
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