Concepedia

Ensemble vs. time averages in financial time series analysis

Lars Seemann, Jia-Chen Hua, Joseph L. McCauley, Gemunu H. Gunaratne

Physica A Statistical Mechanics and its Applications · 2012 · 15 citations · 37 references

DOI

Concepts

References

37

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

, , +11

Stochastic Differential Equations: Theory and Applications.

P. Whittle, Ludwig Arnold · Journal of the Royal Statistical Society Series A (General) · 1976 · 2.4K citations

, , +11

Scaling behaviour in the dynamics of an economic index

Rosario N. Mantegna, H. Eugene Stanley · Nature · 1995 · 1.8K citations

, , +7

STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS

David Williams · Bulletin of the London Mathematical Society · 1976 · 1.1K citations

, , +11