9 citations · 36 across the 11 of their papers we have counts for
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physics.data-an2008
The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures
Damien Challet, Pier Paolo Peirano
Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a way to build a model describing the time…
physics.data-an2006★ 1 cited
Optimal approximations of power-laws with exponentials
Thierry Bochud, Damien Challet
We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in rel…