Browse by Authors

2126

Bassler, Kevin E. and McCauley, Joseph L. and Gunaratne, Gemunu H. (2006): Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets.

2151

McCauley, Joseph L. and Gunaratne, Gemunu H. and Bassler, Kevin E. (2007): Martingale option pricing. Forthcoming in: Physica A (2007)

2152

Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2005): Hurst exponents, Markov processes, and nonlinear diffusion equations. Published in: Physica A , Vol. 369, (2006): pp. 343-353.

2154

McCauley, Joseph L. and Gunaratne, Gemunu H. and Bassler, Kevin E. (2006): Hurst exponents, Markov processes, and fractional Brownian motion. Forthcoming in: Physica A (2007)

2161

McCauley, Joseph L. and Gunaratne, Gemunu H. (2003): An empirical model of volatility of returns and option pricing. Published in: Physica A , Vol. 329, (2003): pp. 178-198.

2162

McCauley, Joseph L. and Gunaratne, Gemunu H. (2003): On CAPM and Black-Scholes, differing risk-return strategies. Published in: Physica A , Vol. 329, (0203): pp. 170-177.

2256

McCauley, Joseph L. and Bassler, Kevin E. and Gunaratne, Gemunu H. (2007): Martingales, Detrending Data, and the Efficient Market Hypothesis.

5813

Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2007): Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts.