Fractional Langevin model of memory in financial time series
Author:
Publisher
American Physical Society (APS)
Link
http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevE.65.037106/fulltext
Reference12 articles.
1. Fractional calculus as a macroscopic manifestation of randomness
2. Scaling and correlation in financial time series
3. Dynamics and memory effects in rupture of thermal fuse networks
4. Scaling of the distribution of fluctuations of financial market indices
5. Statistical properties of the volatility of price fluctuations
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