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Citations for "Fractional calculus and continuous-time finance II: the waiting-time distribution"

by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas

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  1. Ruan, Yong-Ping & Zhou, Wei-Xing, 2011. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
  2. Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
  3. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
  4. Marseguerra, M. & Zoia, A., 2007. "Some insights in superdiffusive transport," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 1-14.
  5. Jaume Masoliver & Miquel Montero & Josep Perello, . "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.
  6. Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006. "Growth and Allocation of Resources in Economics: The Agent-Based Approach," Papers physics/0608221, arXiv.org.
  7. D’Amico, Guglielmo & Janssen, Jacques & Manca, Raimondo, 2009. "European and American options: The semi-Markov case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3181-3194.
  8. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
  9. Düring, B. & Toscani, G., 2007. "Hydrodynamics from kinetic models of conservative economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 493-506.
  10. Svenkeson, A. & Beig, M.T. & Turalska, M. & West, B.J. & Grigolini, P., 2013. "Fractional trajectories: Decorrelation versus friction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5663-5672.
  11. Ren, Fei & Gu, Gao-Feng & Zhou, Wei-Xing, 2009. "Scaling and memory in the return intervals of realized volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4787-4796.
  12. Kuroda, Koji & Murai, Joshin, 2007. "Limit theorems in financial market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 28-34.
  13. Caputo, Michele & Cametti, Cesare & Ruggero, Vittorio, 2008. "Time and spatial concentration profile inside a membrane by means of a memory formalism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2010-2018.
  14. M. Raberto & E. Scalas & F. Mainardi, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Papers cond-mat/0203596, arXiv.org.
  15. �lvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
  16. Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
  17. Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Papers 0904.1107, arXiv.org, revised Aug 2009.
  18. Marseguerra, Marzio & Zoia, Andrea, 2008. "Pre-asymptotic corrections to fractional diffusion equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2668-2674.
  19. Guglielmo D'Amico & Filippo Petroni, 2013. "Multivariate high-frequency financial data via semi-Markov processes," Papers 1305.0436, arXiv.org.
  20. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
  21. Mark M. Meerschaert & Enrico Scalas, 2006. "Coupled continuous time random walks in finance," Papers physics/0608281, arXiv.org.
  22. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
  23. Marseguerra, M. & Zoia, A., 2007. "Monte Carlo investigation of anomalous transport in presence of a discontinuity and of an advection field," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 448-464.
  24. Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Papers 0911.0057, arXiv.org.
  25. Meerschaert, Mark M. & Scheffler, Hans-Peter, 2008. "Triangular array limits for continuous time random walks," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1606-1633, September.
  26. Marseguerra, M. & Zoia, A., 2008. "Monte Carlo evaluation of FADE approach to anomalous kinetics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 345-357.
  27. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
  28. Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009. "The distribution of first-passage times and durations in FOREX and future markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.
  29. Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.
  30. Mura, A. & Taqqu, M.S. & Mainardi, F., 2008. "Non-Markovian diffusion equations and processes: Analysis and simulations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5033-5064.
  31. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics.
  32. Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model with memory for price changes," Papers 1109.4259, arXiv.org, revised Dec 2011.
  33. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
  34. Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.