most citedModeling the non-Markovian, non-stationary scaling dynamics of financial markets

14 citations · 14 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.ST2009★ 14 cited

Modeling the non-Markovian, non-stationary scaling dynamics of financial markets

Fulvio Baldovin, Dario Bovina, Francesco Camana +1

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatilit…