Fractional calculus and continuous-time finance

Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer review

Abstract

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Levy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of financial time series. Predictions on the long-time behaviour of the waiting-time probability density are presented. Finally, a general scaling form is given, based on the solution of the fractional diffusion equation.

Lingua originaleInglese
pagine (da-a)376-384
Numero di pagine9
RivistaPhysica A: Statistical Mechanics and its Applications
Volume284
Numero di pubblicazione1
DOI
Stato di pubblicazionePubblicato - 1 set 2000
Pubblicato esternamente

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