Physica A Statistical Mechanics and its Applications · 2009 · 35 citations · 14 references
EngineeringComputer SciencePhysicsComputational PhysicsStochastic ModelingStochastic ProcessesJump ProcessesLévy ProcessesMonte Carlo MethodsMonte Carlo SimulationParticle-based SimulationSimulation MethodsLévy - Khintchine FormulaLévy MeasureLévy-driven Stochastic Differential EquationsSimulation Of Lévy ProcessesStochastic Process Simulation
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Scaling behaviour in the dynamics of an economic index
Rosario N. Mantegna, H. Eugene Stanley · Nature · 1995 · 1.8K citations
Michael F. Shlesinger, George M. Zaslavsky, J. Klafter · Nature · 1993 · 1K citations