Fractional Langevin model of memory in financial markets

Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics

Volumn 66, Issue 4, 2002, Pages 12-

  Picozzi, Sergio ^a   West, Bruce J ^a,b  

^a DUKE UNIVERSITY   (United States)

^b U S ARMY RESEARCH OFFICE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FRACTIONAL DIFFERENTIAL EQUATION; LANGEVIN EQUATION; PRICE DYNAMICS; STATISTICAL PHYSICS;

COSTS; DATA REDUCTION; EQUATIONS OF MOTION; INTEGER PROGRAMMING; MARKETING; MATHEMATICAL MODELS; ORDINARY DIFFERENTIAL EQUATIONS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; RELAXATION PROCESSES; RISK MANAGEMENT; WAVE EQUATIONS;

TIME SERIES ANALYSIS;

ARTICLE;

EID: 45849155458     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: 10.1103/PhysRevE.66.046118     Document Type: Article

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