Wu, Peng; Muzy, Jean-François; Bacry, Emmanuel From rough to multifractal volatility: the log S-fBm model. (English) Zbl 07582106 Physica A 604, Article ID 127919, 26 p. (2022). MSC: 82-XX PDFBibTeX XMLCite \textit{P. Wu} et al., Physica A 604, Article ID 127919, 26 p. (2022; Zbl 07582106) Full Text: DOI arXiv
He, Yue; Kawai, Reiichiro Super- and subdiffusive positions in fractional Klein-Kramers equations. (English) Zbl 1492.37011 Physica A 588, Article ID 126570, 14 p. (2022). MSC: 37A50 60K50 60G51 60J60 60J65 60H05 PDFBibTeX XMLCite \textit{Y. He} and \textit{R. Kawai}, Physica A 588, Article ID 126570, 14 p. (2022; Zbl 1492.37011) Full Text: DOI
Xu, De-xuan; Yang, Ben-zhang; Kang, Jian-hao; Huang, Nan-jing Variance and volatility swaps valuations with the stochastic liquidity risk. (English) Zbl 1527.91171 Physica A 566, Article ID 125679, 20 p. (2021). MSC: 91G30 60H30 91G20 PDFBibTeX XMLCite \textit{D.-x. Xu} et al., Physica A 566, Article ID 125679, 20 p. (2021; Zbl 1527.91171) Full Text: DOI
Tsionas, Mike G. Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility. (English) Zbl 07456712 Physica A 567, Article ID 125647, 12 p. (2021). MSC: 82-XX PDFBibTeX XMLCite \textit{M. G. Tsionas}, Physica A 567, Article ID 125647, 12 p. (2021; Zbl 07456712) Full Text: DOI
Zhong, Guang-Yan; He, Feng; Li, Jiang-Cheng; Mei, Dong-Cheng; Tang, Nian-Sheng Coherence resonance-like and efficiency of financial market. (English) Zbl 07570712 Physica A 534, Article ID 122327, 11 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{G.-Y. Zhong} et al., Physica A 534, Article ID 122327, 11 p. (2019; Zbl 07570712) Full Text: DOI
Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (English) Zbl 07570684 Physica A 534, Article ID 122191, 17 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{A. Karmous} et al., Physica A 534, Article ID 122191, 17 p. (2019; Zbl 07570684) Full Text: DOI
Li, Long; Bao, Si; Chen, Jing-Chao; Jiang, Tao A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures. (English) Zbl 07565880 Physica A 525, 1405-1417 (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{L. Li} et al., Physica A 525, 1405--1417 (2019; Zbl 07565880) Full Text: DOI
Zhong, Guang-Yan; Li, Jiang-Cheng; Jiang, George J.; Li, Hai-Feng; Tao, Hui-Ming The time delay restraining the herd behavior with Bayesian approach. (English) Zbl 1514.91109 Physica A 507, 335-346 (2018). MSC: 91B80 60H30 62F15 PDFBibTeX XMLCite \textit{G.-Y. Zhong} et al., Physica A 507, 335--346 (2018; Zbl 1514.91109) Full Text: DOI
Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye Modeling returns volatility: realized GARCH incorporating realized risk measure. (English) Zbl 1514.91205 Physica A 500, 249-258 (2018). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{W. Jiang} et al., Physica A 500, 249--258 (2018; Zbl 1514.91205) Full Text: DOI
Takaishi, Tetsuya Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange. (English) Zbl 1514.62215 Physica A 500, 139-154 (2018). MSC: 62P05 PDFBibTeX XMLCite \textit{T. Takaishi}, Physica A 500, 139--154 (2018; Zbl 1514.62215) Full Text: DOI
Abundo, Mario; Pirozzi, Enrica Integrated stationary Ornstein-Uhlenbeck process, and double integral processes. (English) Zbl 1514.60088 Physica A 494, 265-275 (2018). MSC: 60J60 60H05 60H10 PDFBibTeX XMLCite \textit{M. Abundo} and \textit{E. Pirozzi}, Physica A 494, 265--275 (2018; Zbl 1514.60088) Full Text: DOI
Gidea, Marian; Katz, Yuri Topological data analysis of financial time series: landscapes of crashes. (English) Zbl 1514.62206 Physica A 491, 820-834 (2018). MSC: 62P05 62M10 62R40 PDFBibTeX XMLCite \textit{M. Gidea} and \textit{Y. Katz}, Physica A 491, 820--834 (2018; Zbl 1514.62206) Full Text: DOI arXiv
Tsionas, Mike G.; Michaelides, Panayotis G. Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system. (English) Zbl 1495.91083 Physica A 482, 95-107 (2017). MSC: 91B82 62F15 37D45 91B55 PDFBibTeX XMLCite \textit{M. G. Tsionas} and \textit{P. G. Michaelides}, Physica A 482, 95--107 (2017; Zbl 1495.91083) Full Text: DOI
Zheng, Jing; Lin, Zhengyan; Tong, Changqing; Ye, Rendao New methods of simulating Lévy processes. (English) Zbl 1400.60069 Physica A 473, 461-466 (2017). MSC: 60G51 PDFBibTeX XMLCite \textit{J. Zheng} et al., Physica A 473, 461--466 (2017; Zbl 1400.60069) Full Text: DOI
Kumar, A.; Wyłomańska, A.; Połoczański, R.; Sundar, S. Fractional Brownian motion time-changed by gamma and inverse gamma process. (English) Zbl 1400.60049 Physica A 468, 648-667 (2017). MSC: 60G22 PDFBibTeX XMLCite \textit{A. Kumar} et al., Physica A 468, 648--667 (2017; Zbl 1400.60049) Full Text: DOI arXiv
Gong, Xiaoli; Zhuang, Xintian American option valuation under time changed tempered stable Lévy processes. (English) Zbl 1400.91593 Physica A 466, 57-68 (2017). MSC: 91G20 60G51 90C59 PDFBibTeX XMLCite \textit{X. Gong} and \textit{X. Zhuang}, Physica A 466, 57--68 (2017; Zbl 1400.91593) Full Text: DOI
Behfar, Stefan Kambiz Long memory behavior of returns after intraday financial jumps. (English) Zbl 1400.91673 Physica A 461, 716-725 (2016). MSC: 91G80 91B80 PDFBibTeX XMLCite \textit{S. K. Behfar}, Physica A 461, 716--725 (2016; Zbl 1400.91673) Full Text: DOI
Mariani, Maria C.; Tweneboah, Osei K. Stochastic differential equations applied to the study of geophysical and financial time series. (English) Zbl 1400.60107 Physica A 443, 170-178 (2016). MSC: 60J70 62M10 86A32 91G80 91B84 60H10 PDFBibTeX XMLCite \textit{M. C. Mariani} and \textit{O. K. Tweneboah}, Physica A 443, 170--178 (2016; Zbl 1400.60107) Full Text: DOI
Wyłomańska, Agnieszka; Chechkin, Aleksei; Gajda, Janusz; Sokolov, Igor M. Codifference as a practical tool to measure interdependence. (English) Zbl 1395.62286 Physica A 421, 412-429 (2015). MSC: 62M15 PDFBibTeX XMLCite \textit{A. Wyłomańska} et al., Physica A 421, 412--429 (2015; Zbl 1395.62286) Full Text: DOI arXiv
Habtemicael, Semere; SenGupta, Indranil Ornstein-Uhlenbeck processes for geophysical data analysis. (English) Zbl 1395.86008 Physica A 399, 147-156 (2014). MSC: 86A32 60J70 60J60 PDFBibTeX XMLCite \textit{S. Habtemicael} and \textit{I. SenGupta}, Physica A 399, 147--156 (2014; Zbl 1395.86008) Full Text: DOI
Wergen, Gregor Modeling record-breaking stock prices. (English) Zbl 1402.91970 Physica A 396, 114-133 (2014). MSC: 91G80 62G32 62M10 91G70 PDFBibTeX XMLCite \textit{G. Wergen}, Physica A 396, 114--133 (2014; Zbl 1402.91970) Full Text: DOI arXiv
Chang, Lo-Bin; Geman, Stuart Empirical scaling laws and the aggregation of non-stationary data. (English) Zbl 1395.62284 Physica A 392, No. 20, 5046-5052 (2013). MSC: 62M15 60G18 60F99 60G51 91B70 91G70 62P05 PDFBibTeX XMLCite \textit{L.-B. Chang} and \textit{S. Geman}, Physica A 392, No. 20, 5046--5052 (2013; Zbl 1395.62284) Full Text: DOI
Shoji, Isao Filtering for partially observed diffusion and its applications. (English) Zbl 1395.93546 Physica A 392, No. 20, 4966-4976 (2013). MSC: 93E11 60G35 62M20 93E10 PDFBibTeX XMLCite \textit{I. Shoji}, Physica A 392, No. 20, 4966--4976 (2013; Zbl 1395.93546) Full Text: DOI