This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-01-16 (All new papers)
• NEP-ETS-2005-01-16 (Econometric Time Series)
• NEP-FIN-2005-01-16 (Finance)
• NEP-RMG-2005-01-16 (Risk Management)

1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
2. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA. [Downloadable!]
   Other versions:
   • Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "Fractional calculus and continuous-time finance," Quantitative Finance Papers cond-mat/0001120, arXiv.org. [Downloadable!]
3. Parkinson, Michael, 1977. "Option Pricing: The American Put," Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January. [Downloadable!] (restricted)
4. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
5. Plamen Ch. Ivanov & Ainslie Yuen & Boris Podobnik & Youngki Lee, 2004. "Common Scaling Patterns in Intertrade Times of U. S. Stocks," Quantitative Finance Papers cond-mat/0403662, arXiv.org. [Downloadable!]
6. S. James Press, 1967. "A Compound Events Model for Security Prices," Journal of Business, University of Chicago Press, vol. 40, pages 317. [Downloadable!]
7. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June. [Downloadable!] (restricted)
8. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Jeffrey R. Russell, 1995. "Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," University of California at San Diego, Economics Working Paper Series 95-33, Department of Economics, UC San Diego.
9. 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!]
   Other versions:
   • Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, EconWPA. [Downloadable!]
10. Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
    • Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre. [Downloadable!]
    • Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 2-25.
11. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211. [Downloadable!] (restricted)
    Other versions:
    • Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Andrew W. Lo & Craig A. MacKinlay, . "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
12. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)
13. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA. [Downloadable!]
    Other versions:
    • 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!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006. "Growth and Allocation of Resources in Economics: The Agent-Based Approach," Quantitative Finance Papers physics/0608221, arXiv.org. [Downloadable!]