Randomness and fractional stable distributions

DOI10.1016/J.PHYSA.2018.07.019MaRDI QIDQ2151705zbMATH OpenOpenAlexFDO

Authors Charles S. Tapiero, Pierre Vallois

Publication date 5 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2018.07.019

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
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• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3390062 (Why is no real title available?)
• Computer investigation of the Rate of Convergence of Lepage Type Series to α-Stable Random Variables
• Estimation of parameters of fractional stable distributions
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Poisson process
• Fractional absolute moments of heavy tailed distributions
• Fractional randomness
• Fractional randomness and the Brownian bridge
• Implied fractional hazard rates and default risk distributions
• Introduction to Econophysics
• Modeling asset returns with alternative stable distributions^*
• Numerical calculation of stable densities and distribution functions
• Run length statistics and the Hurst exponent in random and birth-death random walks.
• Stochastic differential equations with fractional Brownian motion input

Cited in

(6)

• Fractional randomness
• Robustness of the \(R/S\) statistic for fractional stable noises
• Fractional randomness and the Brownian bridge
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• Identical Distributions of Single Variates and Random Convex Combinations of Uniform Fractional Order Statistics
• Stochastic Bifurcation Processes and Distributions of Fractions

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