IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Fractional calculus and continuous-time finance"

by Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. 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.
  2. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Fractional Dynamics of Natural Growth and Memory Effect in Economics," Papers 1612.09060, arXiv.org, revised Jan 2017.
  3. Meerschaert, Mark M. & Nane, Erkan & Xiao, Yimin, 2009. "Correlated continuous time random walks," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1194-1202, May.
  4. Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
  5. Hayashi, Katsuhiko & Kaizoji, Taisei & Pichl, Lukáš, 2007. "Correlation patterns of NIKKEI index constituents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 16-21.
  6. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  7. Tristan Fletcher & John Shawe-Taylor, 2013. "Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 217-240, August.
  8. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA.
  9. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
  10. Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006. "Growth and allocation of resources in economics: The agent-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 86-90.
  11. Álvaro 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.
  12. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
  13. Scalas, Enrico & Politi, Mauro, 2012. "A parsimonious model for intraday European option pricing," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW).
  14. Guglielmo D'Amico & Filippo Petroni, 2013. "Multivariate high-frequency financial data via semi-Markov processes," Papers 1305.0436, arXiv.org.
  15. 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.
  16. Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
  17. Straka, P. & Henry, B.I., 2011. "Lagging and leading coupled continuous time random walks, renewal times and their joint limits," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 324-336, February.
  18. 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.
  19. Bertram, William K., 2008. "Measuring time dependent volatility and cross-sectional correlation in Australian equity returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3183-3191.
  20. Foad Shokrollahi, 2016. "Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs," Papers 1612.06665, arXiv.org, revised Aug 2017.
  21. 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.
  22. Meerschaert, Mark M. & Scalas, Enrico, 2006. "Coupled continuous time random walks in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 114-118.
  23. Piryatinska, A. & Saichev, A.I. & Woyczynski, W.A., 2005. "Models of anomalous diffusion: the subdiffusive case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 375-420.
  24. 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.
  25. 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.
  26. Pagnini, Gianni, 2014. "Short note on the emergence of fractional kinetics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 29-34.
  27. Berardi, Luca & Serva, Maurizio, 2005. "Time and foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 403-412.
  28. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
  29. 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.
  30. Guo, Gang & Chen, Bin & Zhao, Xinjun & Zhao, Fang & Wang, Quanmin, 2015. "First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 279-290.
  31. 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.
  32. Hosseiny, Ali & Gallegati, Mauro, 2017. "Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 51-59.
  33. Repetowicz, Przemysław & Richmond, Peter, 2004. "Modeling of waiting times and price changes in currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 677-693.
  34. 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.
  35. Tian, WenYi & Li, Can & Deng, Weihua & Wu, Yujiang, 2012. "Regularization methods for unknown source in space fractional diffusion equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 85(C), pages 45-56.
  36. 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.
  37. Masanao Aoki, 2006. "Patterns of Non-exponential Growth of Macroeconomic Models: Two-parameter Poisson-Dirichlet Models," CIRJE F-Series CIRJE-F-449, CIRJE, Faculty of Economics, University of Tokyo.
  38. Scalas, Enrico & Viles, Noèlia, 2014. "A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 385-410.
  39. 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.
  40. Bertram, William K., 2009. "Optimal trading strategies for Itô diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2865-2873.
  41. 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.
  42. Miccichè, S., 2016. "Understanding the determinants of volatility clustering in terms of stationary Markovian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 186-197.
  43. Ali Balcı, Mehmet, 2017. "Time fractional capital-induced labor migration model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 91-98.
  44. Meerschaert, Mark M. & Mortensen, Jeff & Wheatcraft, Stephen W., 2006. "Fractional vector calculus for fractional advection–dispersion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 181-190.
  45. Zheng, G.H. & Wei, T., 2010. "Spectral regularization method for the time fractional inverse advection–dispersion equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 37-51.
  46. 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.
  47. Langlands, T.A.M., 2006. "Solution of a modified fractional diffusion equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 136-144.
  48. David, S.A. & Machado, J.A.T. & Quintino, D.D. & Balthazar, J.M., 2016. "Partial chaos suppression in a fractional order macroeconomic model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 55-68.
  49. Masanao Aoki, 2006. "Patterns of Non-exponential Growth of Macroeconomic Models: Two-parameter Poisson-Dirichlet Models (Forthcoming in "Rivista Internazionale di Scienze Sociali", cxv No.1, pp. 109-125, 2007. )," CARF F-Series CARF-F-085, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  50. Barbieri, Davide & Vivoli, Alessandro, 2005. "Long-range correlations in time series generated by time-fractional diffusion: A numerical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 190-198.
  51. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Economic Accelerator with Memory: Discrete Time Approach," Papers 1612.07913, arXiv.org, revised Jul 2017.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.