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

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

- Marseguerra, M. & Zoia, A., 2008.
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**Monte Carlo evaluation of FADE approach to anomalous kinetics**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 345-357. - M. Raberto & E. Scalas & F. Mainardi, 2002.
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**Waiting-times and returns in high-frequency financial data: an empirical study**," Papers cond-mat/0203596, arXiv.org.

- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002.
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**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.

- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004.
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**Waiting-times and returns in high-frequency financial data: an empirical study**," Finance 0411014, EconWPA.

- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002.
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- Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009.
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**Scaling and memory in the return intervals of realized volatility**," Papers 0904.1107, arXiv.org, revised Aug 2009. - Repetowicz, Przemysław & Richmond, Peter, 2004.
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**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. - Guglielmo D'Amico & Filippo Petroni, 2013.
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**Multivariate high-frequency financial data via semi-Markov processes**," Papers 1305.0436, arXiv.org. - David, S.A. & Machado, J.A.T. & Quintino, D.D. & Balthazar, J.M., 2016.
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**Partial chaos suppression in a fractional order macroeconomic model**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 55-68. - Alvaro Cartea & Thilo Meyer-Brandis, 2007.
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**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. - Ren, Fei & Gu, Gao-Feng & Zhou, Wei-Xing, 2009.
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**Scaling and memory in the return intervals of realized volatility**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4787-4796. - Cartea, Álvaro & Meyer-Brandis, Thilo, 2009.
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**How Duration Between Trades of Underlying Securities Affects Option Prices**," MPRA Paper 16179, University Library of Munich, Germany.

- Álvaro Cartea & Thilo Meyer-Brandis, 2010.
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**How Duration Between Trades of Underlying Securities Affects Option Prices**," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.

- Álvaro Cartea & Thilo Meyer-Brandis, 2010.
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- Kuroda, Koji & Murai, Joshin, 2007.
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**Limit theorems in financial market models**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 28-34. - Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006.
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**Growth and allocation of resources in economics: The agent-based approach**," Post-Print halshs-00871047, HAL.

- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006.
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**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.

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

- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006.
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- Guglielmo D'Amico & Filippo Petroni, 2011.
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**A semi-Markov model with memory for price changes**," Papers 1109.4259, arXiv.org, revised Dec 2011. - B. Düring & G. Toscani, 2007.
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**Hydrodynamics from kinetic models of conservative economies**," CoFE Discussion Paper 07-06, Center of Finance and Econometrics, University of Konstanz.

- Düring, B. & Toscani, G., 2007.
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**Hydrodynamics from kinetic models of conservative economies**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 493-506.

- Düring, B. & Toscani, G., 2007.
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- Enrico Scalas & Mauro Politi, 2012.
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**A parsimonious model for intraday European option pricing**," Papers 1202.4332, arXiv.org.

- Scalas, Enrico & Politi, Mauro, 2012.
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**A parsimonious model for intraday European option pricing**," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW).

- Scalas, Enrico & Politi, Mauro, 2012.
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- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
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**Fractional calculus and continuous-time finance II: the waiting- time distribution**," Finance 0411008, EconWPA.

- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
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**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.

- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000.
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**Fractional calculus and continuous-time finance II: the waiting-time distribution**," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.

- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
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- Scalas, Enrico, 2006.
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**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. - Enrico Scalas, 2005.
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**Five Years of Continuous-time Random Walks in Econophysics**," Papers cond-mat/0501261, arXiv.org.

- Enrico Scalas, 2005.
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**Five Years of Continuous-time Random Walks in Econophysics**," Finance 0501005, EconWPA.

- Enrico Scalas, 2005.
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- Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007.
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**Fractional diffusion models of option prices in markets with jumps**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.

- Alvaro Cartea & Diego del-Castillo-Negrete, 2006.
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**Fractional Diffusion Models of Option Prices in Markets with Jumps**," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.

- Alvaro Cartea & Diego del-Castillo-Negrete, 2006.
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- Jaume Masoliver & Miquel Montero & Josep Perello, .
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**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
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**The continuous time random walk formalism in financial markets**," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
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**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
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- Meerschaert, Mark M. & Scalas, Enrico, 2006.
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**Coupled continuous time random walks in finance**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 114-118.

- Mark M. Meerschaert & Enrico Scalas, 2006.
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**Coupled continuous time random walks in finance**," Papers physics/0608281, arXiv.org.

- Mark M. Meerschaert & Enrico Scalas, 2006.
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- Barbieri, Davide & Vivoli, Alessandro, 2005.
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**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. - Meerschaert, Mark M. & Scheffler, Hans-Peter, 2008.
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**Triangular array limits for continuous time random walks**," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1606-1633, September. - Mura, A. & Taqqu, M.S. & Mainardi, F., 2008.
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**Non-Markovian diffusion equations and processes: Analysis and simulations**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5033-5064. - Ruan, Yong-Ping & Zhou, Wei-Xing, 2011.
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**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. - Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
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**The distribution of first-passage times and durations in FOREX and future markets**," Papers 0808.0372, arXiv.org.

- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
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**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.

- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
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- Marseguerra, M. & Zoia, A., 2007.
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**Some insights in superdiffusive transport**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 1-14. - Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012.
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**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. - Svenkeson, A. & Beig, M.T. & Turalska, M. & West, B.J. & Grigolini, P., 2013.
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**Fractional trajectories: Decorrelation versus friction**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5663-5672. - Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008.
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**Scaling in the distribution of intertrade durations of Chinese stocks**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825. - Piryatinska, A. & Saichev, A.I. & Woyczynski, W.A., 2005.
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**Models of anomalous diffusion: the subdiffusive case**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 375-420. - Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009.
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**Scaling and memory in the non-poisson process of limit order cancelation**," Papers 0911.0057, arXiv.org. - Marseguerra, M. & Zoia, A., 2007.
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**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. - Caputo, Michele & Cametti, Cesare & Ruggero, Vittorio, 2008.
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**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. - Berardi, Luca & Serva, Maurizio, 2005.
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**Time and foreign exchange markets**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 403-412. - Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010.
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**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. - Guo, Gang & Chen, Bin & Zhao, Xinjun & Zhao, Fang & Wang, Quanmin, 2015.
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**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. - Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009.
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**Detrended fluctuation analysis of intertrade durations**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440. - Guglielmo D'Amico & Filippo Petroni, 2012.
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**Weighted-indexed semi-Markov models for modeling financial returns**," Papers 1205.2551, arXiv.org, revised Jun 2012. - Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011.
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**Extremal behavior of a coupled continuous time random walk**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511. - Marseguerra, Marzio & Zoia, Andrea, 2008.
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**Pre-asymptotic corrections to fractional diffusion equations**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2668-2674. - Scalas, Enrico & Viles, Noèlia, 2014.
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**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. - D’Amico, Guglielmo & Janssen, Jacques & Manca, Raimondo, 2009.
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**European and American options: The semi-Markov case**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3181-3194.