article Open AccessTop 1% cited

Fractional calculus and continuous-time finance

Physica A Statistical Mechanics and its Applications · 2000 · Vol. 284(1-4) · pp. 376–384

Enrico Scalas✉(Istituto Nazionale di Fisica Nucleare, Sezione di Torino)Rudolf Gorenflo(Freie Universität Berlin)Francesco Mainardi(Istituto Nazionale di Fisica Nucleare, Sezione di Bologna)

View via DOI Publisher page

Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Fractional Differential Equations SolutionsScalingFinancial marketCharacter (mathematics)Statistical physicsMarkov processSeries (stratigraphy)DiffusionMathematicsMathematical economicsApplied mathematics

Funding

CERN
Freie Universität Berlin

Citations

856

FWCI

23.66

field-weighted impact

References

Percentile

99%

vs. same field & year

Citations per year

Cited by

Waiting-times and returns in high-frequency financial data: an empirical study

Physica A Statistical Mechanics and its Applications · 2002 · 506 citations

Fractional calculus and continuous-time finance II: the waiting-time distribution

Physica A Statistical Mechanics and its Applications · 2000 · 449 citations

The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics

Journal of Physics A Mathematical and General · 2004 · 2,321 citations

Analysis of Fractional Differential Equations

Journal of Mathematical Analysis and Applications · 2002 · 3,111 citations

References

Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1995 · 627 citations

Random Walks on Lattices. II

Journal of Mathematical Physics · 1965 · 2,723 citations

Higher Transcendental Functions

Medical Entomology and Zoology · 1981 · 7,391 citations

Stochastic pathway to anomalous diffusion

Physical review. A, General physics · 1987 · 711 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Econometrica · 1973 · 2,826 citations

Citation Network

How this paper connects to the literature. Drag to explore, click any node to open that paper.