Search Results - subject:"stochastic processes"

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

Mainardi, Francesco; Raberto, Marco; Gorenflo, Rudolf; … - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 468-481

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW) model recently proposed by Scalas et al. (Physica A 284 (2000) 376), and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future...

Persistent link: https://www.econbiz.de/10010590960

A wavelet-based method for multifractal image analysis. I. Methodology and test applications on isotropic and anisotropic random rough surfaces

Arnéodo, A.; Decoster, N.; Roux, S.G. - In: The European Physical Journal B - Condensed Matter and … 15 (2000) 3, pp. 567-600

Persistent link: https://www.econbiz.de/10009280026

Clustering of volatility as a multiscale phenomenon

Pasquini, M.; Serva, M. - In: The European Physical Journal B - Condensed Matter and … 16 (2000) 1, pp. 195-201

Persistent link: https://www.econbiz.de/10009281537

On the physical relevance of max- and log-max-selfsimilar distributions

Huillet, T.; Porzio, A.; Alaya, M. Ben - In: The European Physical Journal B - Condensed Matter and … 17 (2000) 1, pp. 147-158

Persistent link: https://www.econbiz.de/10009281607

Domino effect for world market fluctuations

Vandewalle, N.; Boveroux, Ph.; Brisbois, F. - In: The European Physical Journal B - Condensed Matter and … 15 (2000) 3, pp. 547-549

Persistent link: https://www.econbiz.de/10009282181

Novel mechanism for discrete scale invariance in sandpile models

Lee, M.W.; Sornette, D. - In: The European Physical Journal B - Condensed Matter and … 15 (2000) 1, pp. 193-197

Persistent link: https://www.econbiz.de/10009283069

Learning, competition and cooperation in simple games

Cara, M.A.R. de; Pla, O.; Guinea, F. - In: The European Physical Journal B - Condensed Matter and … 13 (2000) 3, pp. 413-416

Persistent link: https://www.econbiz.de/10009325071

Apparent multifractality in financial time series

Bouchaud, J.-P.; Potters, M.; Meyer, M. - In: The European Physical Journal B - Condensed Matter and … 13 (2000) 3, pp. 595-599

Persistent link: https://www.econbiz.de/10009325087

Growth exponent in the Domany-Kinzel cellular automaton

Atman, A.P.F.; Moreira, J.G. - In: The European Physical Journal B - Condensed Matter and … 16 (2000) 3, pp. 501-505

Persistent link: https://www.econbiz.de/10009325133

Stochastic volatility in interest rates and nonlinearity in velocity

Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000

Persistent link: https://www.econbiz.de/10001508715