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Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Is integration I(d) applicable to observed economics and finance time series?

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108

Persistent link: https://www.econbiz.de/10003880011

Empirically based modeling in financial economics and beyond, and spurious stylized facts

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10003792190

On the analysis of time series with nonstationary increments

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Handbook of research on complexity, (pp. 259-284). 2009

Persistent link: https://www.econbiz.de/10003870454

Dynamics of markets : econophysics and finance

McCauley, Joseph L. - 2004 - 1. publ.

Persistent link: https://www.econbiz.de/10001795430

Equilibrium versus market efficiency : randomness versus complexity in finance markets

McCauley, Joseph L. - In: Nonlinearity, complexity and randomness in economics : …, (pp. 203-210). 2012

Persistent link: https://www.econbiz.de/10009505609

Dynamics of markets : the new financial economics

McCauley, Joseph L. - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003825557

Stochastic calculus and differential equations for physics and finance

McCauley, Joseph L. - 2013 - Online-Ausg.

Machine generated contents note: 1. Random variables and probability distributions; 2. Martingales, Markov, and nonstationarity; 3. Stochastic calculus; 4. Ito processes and Fokker-Planck equations; 5. Selfsimilar Ito processes; 6. Fractional Brownian motion; 7. Kolmogorov's PDEs and...

Persistent link: https://www.econbiz.de/10012683307