A fractional perspective to financial indices

DOI10.1080/02331934.2013.877907zbMath1293.91199OpenAlexW2084263053MaRDI QIDQ5495581

José António Tenreiro Machado

Publication date: 5 August 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.877907

zbMATH Keywords

fractional calculusyieldeconometricsarithmetic returnfinancial series

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Fractional systems and optimization

Cites Work

• Complexity analysis research of financial and economic system under the condition of three parameters' change circumstances
• The human respiratory system. An analysis of the interplay between anatomy, structure, breathing and fractal dynamics
• Contour integral method for European options with jumps
• Dynamics of the dow Jones and the NASDAQ stock indexes
• Recent history of fractional calculus
• The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type
• International finance, Lévy distributions, and the econophysics of exchange rates
• Complex and Chaotic Nonlinear Dynamics
• Nonlinear Dynamics in Economics, Finance and Social Sciences
• An Introduction to Fractional Control
• Advances in Fractional Calculus

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