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

Physica A Statistical Mechanics and its Applications · 2000 · Vol. 287(3-4) · pp. 468–481

Francesco Mainardi✉(University of Bologna)Marco Raberto(University of Genoa)Rudolf Gorenflo(Freie Universität Berlin)Enrico Scalas(Università degli Studi del Piemonte Orientale “Amedeo Avogadro”)

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Stochastic processes and financial applications Complex Systems and Time Series Analysis stochastic dynamics and bifurcationComplement (music)Consistency (knowledge bases)Distribution (mathematics)Random walkFractional calculusFinancial marketPoint (geometry)Incomplete markets

Citations

449

FWCI

7.00

field-weighted impact

References

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97%

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References

Random Walks on Lattices. II

Journal of Mathematical Physics · 1965 · 2,723 citations

Fractional calculus and continuous-time finance

Physica A Statistical Mechanics and its Applications · 2000 · 856 citations

Stochastic pathway to anomalous diffusion

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

Linear Models of Dissipation whose Q is almost Frequency Independent--II

Geophysical Journal International · 1967 · 4,224 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Econometrica · 1973 · 2,826 citations

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