Related references
Note: Only part of the references are listed.Hurst exponents, Markov processes, and fractional Brownian motion
Joseph L. McCauley et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2007)
Power-law autocorrelated stochastic processes with long-range cross-correlations
B. Podobnik et al.
EUROPEAN PHYSICAL JOURNAL B (2007)
Long memory in stock index futures markets: A value-at-risk approach
Ta-Lun Tang et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2006)
Wavelet entropy and fractional Brownian motion time series
D. G. Perez et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2006)
The application of continuous-time random walks in finance and economics
E Scalas
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2006)
Fractionally integrated process for transition economics
B Podobnik et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2006)
Modeling cross correlations within a many-assets market
HE Roman et al.
PHYSICAL REVIEW E (2006)
Activity autocorrelation in financial markets -: A comparative study between several models
L Palatella et al.
EUROPEAN PHYSICAL JOURNAL B (2004)
Autoregressive processes with anomalous scaling behavior: Applications to high-frequency variations of a stock market index
C Dose et al.
PHYSICAL REVIEW E (2003)
Discrete random walk models for space-time fractional diffusion
R Gorenflo et al.
CHEMICAL PHYSICS (2002)
Time fractional diffusion: A discrete random walk approach
R Gorenflo et al.
NONLINEAR DYNAMICS (2002)
Leverage effect in financial markets: The retarded volatility model
JP Bouchaud et al.
PHYSICAL REVIEW LETTERS (2001)
Self-generated power-law tails in probability distributions
HE Roman et al.
PHYSICAL REVIEW E (2001)
The random walk's guide to anomalous diffusion: a fractional dynamics approach
R Metzler et al.
PHYSICS REPORTS-REVIEW SECTION OF PHYSICS LETTERS (2000)