105 citations · 310 across the 12 of their papers we have counts for
4 papers · 1 filter
Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts
Joseph L. McCauley, Kevin E. Bassler, Gemunu H. Gunaratne
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts,…
Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
Joseph L. McCauley
The usual derivation of the Fokker-Planck partial differential eqn. assumes the Chapman-Kolmogorov equation for a Markov process. Starting instead with an Ito stochastic differenti…
Martingales, Detrending Data, and the Efficient Market Hypothesis
Joseph L. McCauley, Kevin E. Bassler, Gemunu H. Gunaratne
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independen…
Markov vs. nonMarkovian processes A comment on the paper Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations by T.D. Frank
Joseph L. McCauley
The purpose of this comment is to correct mistaken assumptions and claims made in the paper Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck…