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~person:"Scalas, Enrico"
~subject:"Fractional calculus"
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Fractional calculus
Continuous-time random walk
5
Statistical finance
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Continuous time random walks
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Scalas, Enrico
Mainardi, Francesco
3
Raberto, Marco
3
Gorenflo, Rudolf
2
Baeumer, B.
1
Benson, D.A.
1
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1
The application of
continuous-time
random walks in finance and economics
Scalas, Enrico
- In:
Physica A: Statistical Mechanics and its Applications
362
(
2006
)
2
,
pp. 225-239
This paper reviews some applications of
continuous
time
random walks (CTRWs) to Finance and Economics. It is divided …
Persistent link: https://www.econbiz.de/10010590919
Saved in:
2
Coupled
continuous
time
random walks in finance
Meerschaert, Mark M.
;
Scalas, Enrico
- In:
Physica A: Statistical Mechanics and its Applications
370
(
2006
)
1
,
pp. 114-118
Continuous
time
random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random …
Persistent link: https://www.econbiz.de/10010874376
Saved in:
3
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:
4
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:
5
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:
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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