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Markov processes, hurst exponents, and nonlinear diffusion equations: with application to finance

Bassler, Kevin E.
; 
Gunaratne, Gemunu H.
; 
McCauley, Joseph L.
Identifiers
http://hdl.handle.net/10379/8859
 https://doi.org/10.13025/24220
Publication Date
2006-09-01
Keywords
hurst exponent, markov process, scaling, stochastic calculus, autocorrelations, fractional brownian motion, tsallis model, nonlinear diffusion, continuous-time finance, microscopic dynamics, fractional calculus, statistics, model
Type
Article
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Citation
Bassler, Kevin E. Gunaratne, Gemunu H.; McCauley, Joseph L. (2006). Markov processes, hurst exponents, and nonlinear diffusion equations: with application to finance. Physica A: Statistical Mechanics and its Applications 369 (2), 343-353
Abstract
Funder
Publisher
Elsevier BV
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Rights
Attribution-NonCommercial-NoDerivs 3.0 Ireland
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Externally hosted open access publications with University of Galway authors (1)