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The continuous time random walk formalism in financial markets

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Author Info
Masoliver, Jaume
Montero, Miquel
Perello, Josep
Weiss, George H.

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Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 61 (2006)
Issue (Month): 4 (December)
Pages: 577-598
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Handle: RePEc:eee:jeborg:v:61:y:2006:i:4:p:577-598

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  1. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA. [Downloadable!]
    Other versions:
  2. M. Raberto & E. Scalas & F. Mainardi, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Quantitative Finance Papers cond-mat/0203596, arXiv.org. [Downloadable!]
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  3. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Quantitative Finance Papers cond-mat/9905305, arXiv.org. [Downloadable!]
  4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  5. V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley, 1999. "Scaling of the distribution of price fluctuations of individual companies," Quantitative Finance Papers cond-mat/9907161, arXiv.org. [Downloadable!]
  6. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166. [Downloadable!] (restricted)
  7. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Quantitative Finance Papers cond-mat/0006454, arXiv.org, revised Nov 2000. [Downloadable!]
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  8. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
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  9. מחקר - ביטוח לאומי, 1900. "קרן מנוף," Working Papers 35, National Insurance Institute of Israel. [Downloadable!]
  10. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," Journal of Business, University of Chicago Press, vol. 36, pages 420. [Downloadable!]
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This page was last updated on 2009-11-22.

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