202 citations · 401 across the 12 of their papers we have counts for
Showing 2006 · physics.data-anShow all
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physics.data-an2006★ 202 cited
Coupled continuous time random walks in finance
Mark M. Meerschaert, Enrico Scalas
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps…
physics.data-an2006★ 11 cited
The art of fitting financial time series with Levy stable distributions
Enrico Scalas, Kyungsik Kim
This paper illustrates a procedure for fitting financial data with -stable distributions. After using all the available methods to evaluate the distribution parameters, one can…